Name
Abstract | ||
|---|---|---|
Economic and financial time series typically exhibit time-varying conditional (given the past) standard deviations and correlations. The conditional standard deviation is also called the volatility. Higher volatilities increase the risk of assets and higher conditional correlations cause an increased risk in portfolios. Therefore, models of time-varying volatilities and correlations are essential ... |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1109/MSP.2011.941553 | IEEE Signal Processing Magazine |
Keywords | Field | DocType |
Time series analysis,Maximum likelihood estimation,Data models,Portfolios,Analytical models,Stochastic processes | Econometrics,Conditional variance,Computer science,Stochastic process,Maximum likelihood,Risk management,Correlation,Statistics,Standard deviation,Volatility (finance),Financial management | Journal |
Volume | Issue | ISSN |
28 | 5 | 1053-5888 |
Citations | PageRank | References |
4 | 0.62 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| David S. Matteson | 1 | 13 | 5.08 |
| David Ruppert | 2 | 43 | 5.79 |