RePEcEconometrics & Forecasting
Reviewing Large Dynamic Covariance Matrices
The article discusses recent advancements in estimating large, time-varying dynamic covariance matrices, with a focus on GARCH model extensions and identifying structural breaks in large covariance structures.
Featured in No. 32 on 9 Jan 2024 · on release day
- Released
- 9 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 12
- Identifier
- RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30
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