On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
type: Item
instance of: scholarly article
title: On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
zbMATH Open document ID: 1163.62070
author: Shuangzhe Liu
author: Heinz Neudecker
published in: Mathematics and Computers in Simulation
publication date: 2009-06-18T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 5566449
zbMATH Keywords: CHARMA
zbMATH Keywords: R-ARCH
zbMATH Keywords: CCC
zbMATH Keywords: ARCH-M
zbMATH Keywords: asymptotic variance matrix
describes a project that uses: FinTS
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.12.008
OpenAlex ID: W2026527199
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DOI: 10.1016/J.MATCOM.2008.12.008
description: scientific article; zbMATH DE number 5566449