A full-factor multivariate GARCH model

DOI10.1111/1368-423X.t01-1-00111zbMath1065.91553OpenAlexW2170813608MaRDI QIDQ4458359

Ioannis D. Vrontos, Dimitris N. Politis, Petros Dellaportas

Publication date: 17 March 2004

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00111

zbMATH Keywords

maximum likelihood estimationBayesian model averagingautoregressive conditional heteroscedasticityMarkov chain Monte Carlo composition

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Economic time series analysis (91B84)

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