SSRNEconometrics & Forecasting
Multivariate Affine GARCH
A specific financial model can capture time-varying volatility and dynamic correlation across asset returns, useful for portfolio optimization and option pricing.
Featured in No. 98 on 21 May 2025 · 2 days after release
- Released
- 19 May 2025
- First featured
- No. 98 · 21 May 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 5260415
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