Estimating Multivariate Volatility Models Equation by Equation (Q5378149)
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scientific article; zbMATH DE number 7064967
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating Multivariate Volatility Models Equation by Equation |
scientific article; zbMATH DE number 7064967 |
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Estimating Multivariate Volatility Models Equation by Equation (English)
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12 June 2019
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constant conditional correlation
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dynamic conditional correlation
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multivariate generalized auto-regressive conditional heteroscedasticity specification testing
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quasi-maximum-likelihood estimation
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