Multivariate hyper-rotated GARCH-BEKK
Year of publication: |
2022
|
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Authors: | Asai, Manabu ; McAleer, Michael |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 14.2022, 2, p. 175-198
|
Subject: | asymptotic normality | consistency | diagonal BEKK | hyper-rotated BEKK | multivariate GARCH | quasi-maximum likelihood estimation | rotated BEKK | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1515/jtse-2021-0006 [DOI] |
Classification: | C13 - Estimation ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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