ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
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Publication:2886953
DOI10.1017/S026646660707020XzbMath1274.62618MaRDI QIDQ2886953
Wolfgang Scherrer, Eva Ribarits
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646660707020x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H05: Characterization and structure theory for multivariate probability distributions; copulas
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