Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 03:27, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility |
scientific article |
Statements
Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (English)
0 references
12 August 2014
0 references
heteroskedasticity
0 references
local scale
0 references
iteratively reweighted least squares
0 references
