On testing for multivariate ARCH effects in vector time series models (Q4470644): Difference between revisions
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Revision as of 15:59, 5 March 2024
scientific article; zbMATH DE number 2075277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On testing for multivariate ARCH effects in vector time series models |
scientific article; zbMATH DE number 2075277 |
Statements
On testing for multivariate ARCH effects in vector time series models (English)
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15 June 2004
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asymptotic null distribution simulations
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autoregressive conditional heteroscedasticity models
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frequency domain analysis
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multivariate time series
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spectral density
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