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Weighted scatter estimation method of the GO-GARCH models - MaRDI portal

Weighted scatter estimation method of the GO-GARCH models (Q2930903)

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Weighted scatter estimation method of the GO-GARCH models
scientific article

    Statements

    title
    Weighted scatter estimation method of the GO-GARCH models (English)
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    author
    Lingyu Zheng
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    William W. S. Wei
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    publication date
    20 November 2014
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    zbMATH Keywords
    multivariate volatility process
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    extended GARCH model
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    principal component analysis
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    influence function
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    singular value decomposition
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    time series
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H12
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    62H25
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    62P05
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    91G70
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    91B84
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    zbMATH DE Number
    6371630
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    OpenAlex ID
    W1947415389
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