All Questions
Tagged with covariance-estimation multivariate
2
questions
1
vote
0
answers
73
views
Can the covariance matrix be represented as a scalar or something similarly small, instead of a large pair-wise grid?
The covariance matrix tabulates pair-wise interactions between variables (assets) one-at-a-time into a grid, which can quickly become large as the number of assets included in a portfolio, for example,...
- 3,040
5
votes
4
answers
15k
views
Multivariate GARCH in Python
Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
- 1,641