- Title
- Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series?
- Creators - without role
- Christian Lavergne - Université de Montpellier, Institut Montpelliérain Alexander Grothendieck - IMAGMohamed Saidane - Institut Supérieur de Commerce et d'Administration des Entreprises
- Publication Details
- American Journal of Mathematical and Management Sciences, Vol.31(1&2), pp.73-116
- Identifiers
- 9940218709311
- Academic Unit
- Institut Montpelliérain Alexander Grothendieck - IMAG
- Language
- English
- Resource Type
- Journal article
- Local Fields
- hal-00758059
Journal article
Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series?
American Journal of Mathematical and Management Sciences, Vol.31(1&2), pp.73-116
2011
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