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Results for Cholesky decomposition
Publications & Outputs
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/Magazine
›
Journal article
›
peer-review
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/Magazine
›
Journal article
›
peer-review