程序代写 FM321: Risk Management and Zhu
Leture 6: Multivariate Volatility Modelling – Part III – PCA and Orthogonal GARCH FM321: Risk Management and Zhu 1 November 2022 Copyright By PowCoder代写 加微信 powcoder LSE Finance LSE FM321 Lecture 6: PCA and Orthogonal GARCH 1 / 26 Previously, we wrote down several models for Σt EWMA: Σt = (1 − λ)rt−1rt′−1 + λΣt−1 […]
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