Multivariate variance targeting in the BEKK-GARCH model (Q5093221)
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scientific article; zbMATH DE number 7563579
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate variance targeting in the BEKK-GARCH model |
scientific article; zbMATH DE number 7563579 |
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Multivariate variance targeting in the BEKK-GARCH model (English)
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26 July 2022
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asymptotic theory
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BEKK
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covariance targeting
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multivariate GARCH
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time series
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variance targeting
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