Multivariate hyper-rotated GARCH-BEKK
Manabu Asai and Michael McAleer
| Year of publication: |
2022
|
|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 14.2022, 2, p. 175-198
|
| Subject: | asymptotic normality | consistency | diagonal BEKK | hyper-rotated BEKK | multivariate GARCH | quasi-maximum likelihood estimation | rotated BEKK | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2021-0006 [DOI] |
| Classification: | C13 - Estimation ; C32 - Time-Series Models |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013260190