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Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices · Study

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PreprintOrthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices

Carol Alexander2000

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Preprintgreen2000

Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices

Carol Alexander

30 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995THE GARCH OPTION PRICING MODEL 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills 1996An evaluation of volatility forecasting techniques 1996Scenario Simulation: Theory and methodology 1990Volatility forecasting without data-snooping

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2001A Primer on the Orthogonal GARCH Modelarticle · 6 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 4 shared references 2008Glossary to ARCH (GARCH)preprint · 4 shared references 2003Multivariate GARCH Models: A Surveypreprint · 4 shared references 2005Volatility Forecastingreport · 4 shared references 1996Marginalization and contemporaneous aggregation in multivariate GARCH processesarticle · 4 shared references

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Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.248132

openalex_workW2103448947

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