JOURNAL ARTICLE
Feasible generalized least squares estimation of multivariate GARCH(1, 1) models
Year: 2014 Journal: Journal of Multivariate Analysis Vol: 129 Pages: 151-159 Publisher: Elsevier BV
Keywords:
Mathematics Estimator Multivariate statistics Generalized least squares Autoregressive conditional heteroskedasticity Least-squares function approximation Applied mathematics Quasi-maximum likelihood Statistics Estimation theory Maximum likelihood Mathematical optimization Econometrics Expectation–maximization algorithm
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Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Hydrology and Drought Analysis
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Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance
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