ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
From MaRDI portal
Publication:3632412
DOI10.1017/S0266466608080456zbMath1284.62572MaRDI QIDQ3632412
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J05: Discrete-time Markov processes on general state spaces
60B99: Probability theory on algebraic and topological structures
Related Items
Stationarity and geometric ergodicity of BEKK multivariate GARCH models, Model identification using the efficient determination criterion, Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
Cites Work
- Positive semidefinite biquadratic forms
- Generalized autoregressive conditional heteroscedasticity
- Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
- Positive operators and an inertia theorem
- Positive linear maps of operator algebras
- Linear Preserver Problems
- ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
- Chapter 3:inertia preservers
- Linear Maps on Selfadjoint Operators Preserving Invertibility, Positive Definiteness, Numerical Range