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American Journal of Mathematical and Management Sciences Volume 31, 2011 - Issue 1-2
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Original Articles

Can the GQARCH Latent Factor Model Improve the Prediction Performance of Multivariate Financial Time Series?

Mohamed SaidaneUniversity of Carthage ISCC de Bizerte, Zarzouna7021, Tunisia E-mail: [email protected]
&
Christian LavergneDepartment of Mathematics, University of Montpellier II I3M UMR-CNRS 5149 CC, 051, 34095Montpellier, France E-mail: [email protected]
Pages 73-116 | Published online: 06 Aug 2013

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