Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997

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Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997–1998

Published:2004-02 Issue:1 Volume:10 Page:44-67
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Byström Hans N.E.

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

http://www.tandfonline.com/doi/pdf/10.1080/1351847032000061379

Reference18 articles.

1. Alexander C.O. Chibumba A.M. (1997) Multivariate orthogonal factor GARCH University of Sussex Discussion Papers in Mathematics Available fromhttp://www.ismacentre.rdg.ac.uk

2. On the Covariance Matrices Used in Value at Risk Models

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