Cointegration models with non Gaussian GARCH innovations

DOI10.1007/S40300-017-0133-ZzbMath1416.62501OpenAlexW2770907293MaRDI QIDQ1640655

Nimitha John, Balakrishna Narayana

Publication date: 14 June 2018

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-017-0133-z

zbMATH Keywords

cointegrationvolatility modelsFisher scoring algorithmbivariate cointegration modelgeneralised autoregressive conditional heterosedasticity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Optimal forecasting accuracy using Lp-norm combination

Cites Work

• Cointegration tests with conditional heteroskedasticity.
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
• A multivariate generalization of the power exponential family of distributions
• A full-factor multivariate GARCH model
• Unnamed Item
• Unnamed Item

This page was built for publication: Cointegration models with non Gaussian GARCH innovations