Maximum-Likelihood estimation using the zig-zag algorithm
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
| Year of publication: |
2023
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|---|---|
| Authors: | Hautsch, Nikolaus ; Okhrin, Ostap ; Ristig, Alexander |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1346-1375
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| Subject: | Bitcoin | dynamic conditional correlation | efficient estimation | Gauß-Seidel | iterative estimation | maximization by parts | vector autoregressive moving average | vine copula | Schätztheorie | Estimation theory | Korrelation | Correlation | Schätzung | Estimation | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014391462