Auflistung nach Schlagwort "Financial networks"

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  • Network log-ARCH models for forecasting stock market volatility 
    Mattera, Raffaele; Otto, Philipp (Amsterdam [u.a.] : Elsevier Science, 2024)
    This paper presents a dynamic network autoregressive conditional heteroscedasticity (ARCH) model suitable for high-dimensional cases where multivariate ARCH models are typically no longer applicable. We adopt the theoretical ...