Long memory and asymmetry for matrix-exponential dynamic correlation processes
type: Item
instance of: scholarly article
title: Long memory and asymmetry for matrix-exponential dynamic correlation processes
zbMATH Open document ID: 1499.62296
author: Manabu Asai
author: Mike K. P. So
published in: Journal of Time Series Econometrics
publication date: 2018-02-07T00:00:00Z
full work available at URL: https://www.degruyter.com/view/j/jtse.2015.7.issue-1/jtse-2013-0012/jtse-2013-0012.xml
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6835909
zbMATH Keywords: matrix-exponential
zbMATH Keywords: long memory
zbMATH Keywords: asymmetric effects
zbMATH Keywords: dynamic correlation
zbMATH Keywords: inverse Wishart distribution
zbMATH Keywords: heavy tails
MaRDI profile type: Publication
OpenAlex ID: W2029187785
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DOI: 10.1515/JTSE-2013-0012
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description: scientific article; zbMATH DE number 6835909