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A Student-\(t\) full factor multivariate GARCH model - MaRDI portal

A Student-\(t\) full factor multivariate GARCH model (Q2655303)

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A Student-\(t\) full factor multivariate GARCH model
scientific article

    Statements

    title
    A Student-\(t\) full factor multivariate GARCH model (English)
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    author
    K. Diamantopoulos
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    Ioannis D. Vrontos
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    publication date
    25 January 2010
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    zbMATH Keywords
    autoregressive conditional heteroscedasticity
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    fat tails
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    maximum likelihood estimation
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    Student-\(t\) distribution
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62M10
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    62F10
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    zbMATH DE Number
    5662136
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    OpenAlex ID
    W2064423175
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