Network GARCH Model

DOI10.5705/ss.202018.0234zbMath1464.62398OpenAlexW2953993625MaRDI QIDQ4986327

Jing Zhou, Hansheng Wang, Dong Li, Rui Pan

Publication date: 27 April 2021

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202018.0234

zbMATH Keywords

quasi-maximum likelihood estimatorGARCH modelnetwork structuremultivariate GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Huber estimation for the network autoregressive model ⋮ Testing Linearity for Network Autoregressive Models ⋮ A case study on the shareholder network effect of stock market data: an SARMA approach ⋮ Grouped spatial autoregressive model

This page was built for publication: Network GARCH Model