A simple multivariate ARCH model specified by random coefficients (Q1010530)
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scientific article; zbMATH DE number 5540527
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple multivariate ARCH model specified by random coefficients |
scientific article; zbMATH DE number 5540527 |
Statements
A simple multivariate ARCH model specified by random coefficients (English)
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6 April 2009
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likelihood ratio test
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maximum likelihood estimation
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multivariate autoregressive conditional heteroscedasticity
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nonconstant correlation
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random coefficient model
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Hadamard product
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star product
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