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Realized BEKK-CAW models - MaRDI portal

Realized BEKK-CAW models (Q2693372)

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Realized BEKK-CAW models
scientific article

    Statements

    title
    Realized BEKK-CAW models (English)
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    author
    Manabu Asai
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    Mike K. P. So
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    publication date
    20 March 2023
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    zbMATH Keywords
    asymptotic theory
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    realized multivariate GARCH
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    conditional autoregressive Wishart
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    quasi-maximum likelihood estimation
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    variance targeting
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    cites work

    Identifiers

    zbMATH DE Number
    7665511
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    OpenAlex ID
    W4306399336
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