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scientific article; zbMATH DE number 1821192
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scientific article; zbMATH DE number 1821192

    Statements

    author
    Eric Zivot
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    Jiahui Wang
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    publication date
    28 October 2002
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    Mathematics Subject Classification ID
    91B84
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    91-02
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    91-04
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    62M10
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    62P05
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    zbMATH DE Number
    1821192
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    zbMATH Keywords
    vector autoregression model
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    cointegration
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    multivariate GARCH
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    long memory time series
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    change-point detection
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    extreme values distribution
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    risk measurement
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