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Results tagged with multivariate-analysis
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user 48309
Analyses/models where there is more than one response (dependent) variable. Commonly confused with "multiple" or "multivariable" analysis, which has more than one predictor (independent) variable.
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Multivariate GARCH with respect to Value at Risk
For the last few weeks I studied GARCH with respect to individual assets. Now I want to combine assets and execute a multivariate (DCC) GARCH test. Let us say that I have a portfolio containing four a …
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