Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
Dukpa Kim
| Year of publication: |
2014
|
|---|---|
| Authors: | Kim, Dukpa |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 123.2014, 3, p. 282-286
|
| Subject: | Heteroskedasticity | Local scale | Iteratively reweighted least squares | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | VAR-Modell | VAR model | Volatilität | Volatility | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010401375