On testing for multivariate ARCH effects in vector time series models (Q4470644)
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scientific article; zbMATH DE number 2075277
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On testing for multivariate ARCH effects in vector time series models |
scientific article; zbMATH DE number 2075277 |
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On testing for multivariate ARCH effects in vector time series models (English)
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15 June 2004
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asymptotic null distribution simulations
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autoregressive conditional heteroscedasticity models
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frequency domain analysis
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multivariate time series
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spectral density
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0.8764750361442566
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0.8701431751251221
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0.8409944772720337
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0.8299437761306763
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