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