• Article  

      Two Cholesky-log-GARCH models for multivariate volatilities 

      Pedeli, Xanthi; Fokianos, Konstantinos; Pourahmadi, M. (2015)
      Parsimonious estimation of high-dimensional covariance matrices is of fundamental importance in multivariate statistics. Typical examples occur in finance, where the instantaneous dependence among several asset returns ...