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Principal component models for generating large GARCH covariance matrices

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Alexander, C. (2002) Principal component models for generating large GARCH covariance matrices. Economic Notes, 31 (2). pp. 337-359. ISSN 1468-0300 doi: 10.1111/1468-0300.00089

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/24029
Identification Number/DOI 10.1111/1468-0300.00089
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Publisher Wiley
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Download
Full text not archived in this repository.
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