IDENTIFICATION OF COVARIANCE STRUCTURES

DOI10.1017/S0266466606060105zbMath1127.62082MaRDI QIDQ5438202

Riccardo Lucchetti

Publication date: 23 January 2008

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30)

Related Items (2)

Proximity-Structured Multivariate Volatility Models ⋮ Correction of Caporin and Paruolo (2015)

Cites Work

• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• A full-factor multivariate GARCH model
• Identification in Parametric Models

This page was built for publication: IDENTIFICATION OF COVARIANCE STRUCTURES