Realized BEKK-CAW models
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Publication:2693372
DOI10.1515/jtse-2022-0009OpenAlexW4306399336MaRDI QIDQ2693372
Publication date: 20 March 2023
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2022-0009
asymptotic theoryquasi-maximum likelihood estimationconditional autoregressive Wishartrealized multivariate GARCHvariance targeting
Cites Work
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