Explicit minimal representation of variance matrices, and its implication for dynamic volatility models

Authors

Karim M Abadir, Department of Economics, American University in Cairo, AUC Avenue, P.O.Box 74, New Cairo 11835, Egypt and Business School, Imperial College London , London SW7 2AZ , UK

Author's Department

Economics Department

Document Type

Research Article

Publication Title

The Econometrics Journal

Publication Date

8-25-2022

doi

10.1093/ectj/utac023

First Page

88

Last Page

104

Recommended Citation

APA Citation

Abadir, K. (2022). Explicit minimal representation of variance matrices, and its implication for dynamic volatility models. The Econometrics Journal, 26, 88–104. 10.1093/ectj/utac023
https://fount.aucegypt.edu/faculty_journal_articles/5474

MLA Citation

Abadir, Karim M "Explicit minimal representation of variance matrices, and its implication for dynamic volatility models." The Econometrics Journal, vol. 26, 2022, pp. 88–104.
https://fount.aucegypt.edu/faculty_journal_articles/5474