Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series?
Data and Resources
Additional Info
| Field | Value |
|---|---|
| Source | ISSN: 0196-6324 |
| Author | Lavergne, Christian, Saidane, Mohamed |
| Maintainer | CCSD |
| Last Updated | June 3, 2026, 18:33 (UTC) |
| Created | June 3, 2026, 18:33 (UTC) |
| Identifier | hal-00758059 |
| Language | en |
| contributor | Institut de Mathématiques et de Modélisation de Montpellier (I3M) ; Université Montpellier 2 - Sciences et Techniques (UM2)-Université de Montpellier (UM)-Centre National de la Recherche Scientifique (CNRS) |
| creator | Lavergne, Christian |
| date | 2011-06-03T00:00:00 |
| harvest_object_id | 705d9cb2-c68f-4003-a8c9-c158fb3a78bd |
| harvest_source_id | 3374d638-d20b-4672-ba96-a23232d55657 |
| harvest_source_title | test moissonnage SELUNE |
| metadata_modified | 2025-05-22T00:00:00 |
| relation | info:eu-repo/semantics/altIdentifier/doi/10.1080/01966324.2011.10737801 |
| set_spec | type:ART |