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Dynamic conditional eigenvalue GARCH - MaRDI portal

Dynamic conditional eigenvalue GARCH (Q6090564)

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scientific article; zbMATH DE number 7767716
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English
Dynamic conditional eigenvalue GARCH
scientific article; zbMATH DE number 7767716

    Statements

    title
    Dynamic conditional eigenvalue GARCH (English)
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    author
    Simon Hetland
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    Anders Rahbek
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    publication date
    17 November 2023
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    zbMATH Keywords
    multivariate GARCH
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    go-GARCH
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    reduced rank
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    asymptotic theory
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    Identifiers

    zbMATH DE Number
    7767716
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    OpenAlex ID
    W3203426122
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