Cointegration models with non Gaussian GARCH innovations
type: Item
instance of: scholarly article
title: Cointegration models with non Gaussian GARCH innovations
zbMATH Open document ID: 1416.62501
author: Nimitha John
author: Balakrishna Narayana
published in: Metron
publication date: 2018-06-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 6889339
zbMATH Keywords: cointegration
zbMATH Keywords: Fisher scoring algorithm
zbMATH Keywords: generalised autoregressive conditional heterosedasticity
zbMATH Keywords: volatility models
zbMATH Keywords: bivariate cointegration model
MaRDI profile type: Publication
full work available at URL: s40300-017-0133-z
OpenAlex ID: W2770907293
cites work: A multivariate generalization of the power exponential family of distributions
cites work: Q4328700
cites work: Cointegration tests with conditional heteroskedasticity.
cites work: Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
cites work: Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
cites work: Q4272853
cites work: A full-factor multivariate GARCH model
DOI: 10.1007/S40300-017-0133-Z
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description: scientific article; zbMATH DE number 6889339