New approaches of the multivariate GARCH residual: application to foreign exchange rates
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DOI: 10.1080/14697688.2025.2547829
Abstract: Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach estimates the correlation matrix as a parameter and transforms any joint distribution to match a specific… read more here.
Keywords: correlation matrix; exchange rates; multivariate garch; new approaches ... See more keywords