A simple multivariate ARCH model specified by random coefficients

DOI10.1016/j.csda.2005.11.019zbMath1157.62490OpenAlexW1977441334MaRDI QIDQ1010530

Hong-Zhi An, Wai Keung Li, Pak Wing Fong

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.11.019

zbMATH Keywords

likelihood ratio testmaximum likelihood estimationHadamard productstar productrandom coefficient modelmultivariate autoregressive conditional heteroscedasticitynonconstant correlation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• On a multivariate conditional heteroscedastic model
• Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing

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