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Estimation of multivariate asymmetric power GARCH models - MaRDI portal

Estimation of multivariate asymmetric power GARCH models

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Publication:6310767

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DOI10.1016/J.JMVA.2022.105073zbMath1520.62111arXiv1812.02061MaRDI QIDQ6310767

Bruno Saussereau, O. Kadmiri, Yacouba Boubacar Maïnassara

Publication date: 5 December 2018

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)

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