Marginalization and contemporaneous aggregation in multivariate GARCH processes (Q1915440)
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scientific article; zbMATH DE number 889977
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| English | Marginalization and contemporaneous aggregation in multivariate GARCH processes |
scientific article; zbMATH DE number 889977 |
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Marginalization and contemporaneous aggregation in multivariate GARCH processes (English)
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15 July 1996
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marginal processes
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contemporaneous aggregation of independent univariate GARCH processes
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weak GARCH process
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variance parameters
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kurtosis parameters
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multivariate GARCH processes
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0.919485867023468
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0.8545511364936829
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0.8300886750221252
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