Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924)
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scientific article; zbMATH DE number 6329140
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility |
scientific article; zbMATH DE number 6329140 |
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Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (English)
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12 August 2014
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heteroskedasticity
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local scale
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iteratively reweighted least squares
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