A suggestion for constructing a large time-varying conditional covariance matrix

@inproceedings{Gibson2017ASF,
  title={A suggestion for constructing a large time-varying conditional covariance matrix},
  author={Heather D. Gibson and Stephen G. F. Hall and George S. Tavlas},
  year={2017}
}
The construction of large conditional covariance matrices has posed a problem in the empirical literature because the direct extension of the univariate GARCH model to a multivariate setting produces large numbers of parameters to be estimated as the number of equations rises. A number of procedures have previously aimed to simplify the model and restrict the number of parameters, but these procedures typically involve either invalid or undesirable restrictions. This paper suggests an… CONTINUE READING

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