A closed-form estimator for the multivariate GARCH(1,1) model
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Publication:391807
DOI10.1016/j.jmva.2013.05.005zbMath1282.62202arXiv1303.3740OpenAlexW1977699941MaRDI QIDQ391807
Federico Poloni, Giacomo Sbrana
Publication date: 13 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.3740
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Matrix equations and identities (15A24) Basic linear algebra (15A99)
Related Items (2)
Robust closed-form estimators for the integer-valued GARCH(1,1) model ⋮ Feasible generalized least squares estimation of multivariate GARCH(1,1) models
Cites Work
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