Volatility Estimation of Multivariate ARMA-GARCH Model

DOI10.11916/J.ISSN.1005-9113.18077zbMath1463.91147OpenAlexW3015012389MaRDI QIDQ5127660

Jimin Ye, Pengfei Xie, Junyuan Wang

Publication date: 27 October 2020

Full work available at URL: http://hit.alljournals.cn/html/jhit_cn/2020/1/20200104.html

zbMATH Keywords

volatilitycausal structuremultivariate GARCH modelindependent componentstructural autoregressive moving-average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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