Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
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Publication:3505329
DOI10.1111/j.1467-9892.2007.00543.xzbMath1150.62064MaRDI QIDQ3505329
Sanjay Srivastava, John Lenoczky, Mihaela Şerban, Anthony E. Brockwell
Publication date: 18 June 2008
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00543.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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