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- Wed May 05, 2010 11:43 am
- Forum: Estimation
- Topic: Choleski decomposition and MGARCH
- Replies: 0
- Views: 1569
Choleski decomposition and MGARCH
Does anyone know how to orthogonalize two residual series, X and Y (which may be residuals generated from the estimation of a bivariate GARCH model) using a Choleski decomposition, under the assumption that one of the residual series, say Y is partly driven by a purely idiosyncratic shock and also b...
