Realized BEKK-CAW models
Year of publication: |
2023
|
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Authors: | Asai, Manabu ; So, Mike Ka-pui |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 15.2023, 1, p. 49-77
|
Subject: | asymptotic theory | conditional autoregressive Wishart | quasi-maximum likelihood estimation | realized multivariate GARCH | variance targeting | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
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-2022-0009 [DOI] |
Classification: | C13 - Estimation ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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