Realized BEKK-CAW Models
Work
Year: 2022
Type: article
Abstract: Estimating time-varying conditional covariance matrices of financial returns play important role in portfolio analysis, risk management, and financial econometrics research. The availability of high-... more
Authors Manabu Asai, Mike K. P. So
Institutions Soka University, Hong Kong University of Science and Technology, University of Hong Kong
Cites: 43
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: hybrid