On matricial measures of dependence in vector ARCH models with applications to diagnostic checking (Q1770073)
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scientific article; zbMATH DE number 2154033
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| English | On matricial measures of dependence in vector ARCH models with applications to diagnostic checking |
scientific article; zbMATH DE number 2154033 |
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On matricial measures of dependence in vector ARCH models with applications to diagnostic checking (English)
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7 April 2005
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ARCH models
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Multivariate time series
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Autocovariance matrices
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Diagnostic checking
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0.8870245814323425
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0.8552987575531006
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0.8455331921577454
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0.8374900221824646
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