Joint modeling of cointegration and conditional heteroscedasticity with applications
| Year of publication: |
2005
|
|---|---|
| Authors: | Wong, Heung ; Li, W. ; Ling, Shiqing |
| Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 57.2005, 1, p. 83-103
|
| Publisher: |
Springer |
| Subject: | Cointegration | full rank maximum likelihood estimator | least squares estimator | partially nonstationary | reduced rank MLE | vector AR-GARCH model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184640