A full-factor multivariate GARCH model (Q4458359): Difference between revisions

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Latest revision as of 11:17, 30 July 2024

scientific article; zbMATH DE number 2060125
Language Label Description Also known as
English
A full-factor multivariate GARCH model
scientific article; zbMATH DE number 2060125

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    A full-factor multivariate GARCH model (English)
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    17 March 2004
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    Markov chain Monte Carlo composition
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    Bayesian model averaging
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    autoregressive conditional heteroscedasticity
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    maximum likelihood estimation
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