Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924)
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 6329140
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility |
scientific article; zbMATH DE number 6329140 |
Statements
Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (English)
0 references
12 August 2014
0 references
heteroskedasticity
0 references
local scale
0 references
iteratively reweighted least squares
0 references
0 references
0.804543137550354
0 references
0.8034743666648865
0 references
0.8024992942810059
0 references
0.7885815501213074
0 references
