Diagnostic checking of the vector multiplicative error model (Q1660140)
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scientific article; zbMATH DE number 6918655
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Diagnostic checking of the vector multiplicative error model |
scientific article; zbMATH DE number 6918655 |
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Diagnostic checking of the vector multiplicative error model (English)
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15 August 2018
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multivariate portmanteau test
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autoregressive conditional duration
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GARCH model
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realized volatility
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0.8964597582817078
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0.8492092490196228
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0.8337041139602661
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0.8107787370681763
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