On asymptotic theory for multivariate GARCH models
type: Item
instance of: scholarly article
title: On asymptotic theory for multivariate GARCH models
zbMATH Open document ID: 1170.62063
author: Christian M. Hafner
author: Arie Preminger
published in: Journal of Multivariate Analysis
publication date: 2009-09-28T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 5608046
zbMATH Keywords: multivariate GARCH models
zbMATH Keywords: VEC
zbMATH Keywords: geometric ergodicity
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic normality
MaRDI profile type: Publication
full work available at URL: j.jmva.2009.03.011
OpenAlex ID: W2007926406
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DOI: 10.1016/J.JMVA.2009.03.011
description: scientific article; zbMATH DE number 5608046