Asymptotics of Cholesky GARCH models and time-varying conditional betas

Serge Darolles, Christian Francq and Sébastien Laurent ()
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Sébastien Laurent: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Date: 2018-06
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Published in FERM (Financial Engineering and Risk Management) 2018 Conference, Jun 2018, Shanghai, China

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04590232

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