Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Subject "hyperspherical coordinates"
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Article
Two Cholesky-log-GARCH models for multivariate volatilities
(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 ...