Estimation of C-MGARCH models based on the MBP method

DOI10.1016/J.SPL.2012.10.009MaRDI QIDQ1950684zbMATH OpenOpenAlexFDO

Authors Lihui Li, Tao Wen

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.10.009

zbMATH Keywords

copulaMBPMGARCH modelsMMBP

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(1)

• Efficient maximum likelihood estimation of copula based meta \(t\)-distributions

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