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Conference publications

Fisher Information Matrix for Multivariate DCC-MGARCH(1,1) Method

Belsner O. A., Kritski O. L.

"Математика. Компьютер. Образование". Cб. трудов XV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2008. Vol. 1, 302pp. Pp. 219-224. (accepted)

The analytic form of Fisher Information Matrix (IM) written for DCC-MGARCH(1,1) was suggested. After that it was applied for simplifying the general algorithm: the statistical hypothesis about constant correlation matrix usage was put forward and statistical verification was made. IM was employed to Russian share market



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