Multivariate hyper-rotated GARCH-BEKK (Q2151746)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Multivariate hyper-rotated GARCH-BEKK |
scientific article |
Statements
Multivariate hyper-rotated GARCH-BEKK (English)
0 references
5 July 2022
0 references
rotated BEKK
0 references
hyper-rotated BEKK
0 references
diagonal BEKK
0 references
multivariate GARCH
0 references
quasi-maximum likelihood estimation
0 references
consistency
0 references
asymptotic normality
0 references
0 references