What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
Year of publication: |
March 2019
|
---|---|
Authors: | McAleer, Michael |
Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
Subject: | Dynamische Ökonometrie | Dynamic econometrics | Korrelation | Correlation | Hedging |
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