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Results for Cholesky decomposition

Publications & Outputs

  1. Two Cholesky-log-GARCH models for multivariate volatilities

    Pedeli, X., Fokianos, K. & Pourahmadi, M., 2015, In: Statistical Modelling. 15, 3, p. 233-255 23 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  2. A heuristic for moment-matching scenario generation

    Høyland, K., Kaut, M. & Wallace, S. W., 02/2003, In: Computational Optimization and Applications. 24, 2-3, p. 169-185 17 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review