Realized BEKK-CAW models (Q2693372)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7665511
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Realized BEKK-CAW models |
scientific article; zbMATH DE number 7665511 |
Statements
Realized BEKK-CAW models (English)
0 references
20 March 2023
0 references
asymptotic theory
0 references
realized multivariate GARCH
0 references
conditional autoregressive Wishart
0 references
quasi-maximum likelihood estimation
0 references
variance targeting
0 references
0 references
0 references
0 references
0 references
0.825681746006012
0 references
0.8035950064659119
0 references
0.794400691986084
0 references
0.7874910235404968
0 references
0.7849521040916443
0 references
