scientific article; zbMATH DE number 6193739

zbMath1268.62137arXivmath/0702815MaRDI QIDQ5326969

Ruey S. Tsay

Publication date: 1 August 2013

Full work available at URL: https://arxiv.org/abs/math/0702815

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

positive definite matricesmultivariate GARCH modelsBEKK modelsvolatility series

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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