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- Wed Nov 02, 2016 4:06 pm
- Forum: Programming
- Topic: rolling windows covariance matrix
- Replies: 9
- Views: 3540
Hi, I have five series that I want to roll and save the covariance matrix in each period. Can you please help to perform it? The initial estimates of the covariance matrix is generated from DCC and ADCC, and not sure if rolling under DCC and ADCC framework is possible. Also how to take sample varian...