Estimation of C-MGARCH models based on the MBP method

DOI10.1016/J.SPL.2012.10.009zbMath1465.62152OpenAlexW2082668703MaRDI QIDQ1950684

Lihui Li, Tao Wen

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.10.009

zbMATH Keywords

copulaMMBPMBPMGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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