Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560)
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scientific article; zbMATH DE number 5540550
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| English | Testing for multivariate autoregressive conditional heteroskedasticity using wavelets |
scientific article; zbMATH DE number 5540550 |
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Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (English)
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6 April 2009
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wavelet spectrum estimator
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kernel spectrum estimator
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autoregressive conditional heteroskedasticity
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multivariate time series
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0.8764750361442566
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0.8728479146957397
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0.8122496604919434
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