On a multivariate conditional heteroscedastic model
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Publication:4364848
DOI10.1093/biomet/84.1.111zbMath0883.62106OpenAlexW2081973846MaRDI QIDQ4364848
Publication date: 9 March 1998
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/84.1.111
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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