A Student-\(t\) full factor multivariate GARCH model (Q2655303)
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scientific article; zbMATH DE number 5662136
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Student-\(t\) full factor multivariate GARCH model |
scientific article; zbMATH DE number 5662136 |
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A Student-\(t\) full factor multivariate GARCH model (English)
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25 January 2010
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autoregressive conditional heteroscedasticity
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fat tails
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maximum likelihood estimation
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Student-\(t\) distribution
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