Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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Publication:3394105
DOI10.1080/07474930802467217zbMath1168.62083OpenAlexW2034967606MaRDI QIDQ3394105
Felix T. S. Chan, Suhejla Hoti, Michael McAleer
Publication date: 28 August 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802467217
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) 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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