Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (Q4979108)
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scientific article; zbMATH DE number 6304784
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity |
scientific article; zbMATH DE number 6304784 |
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Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (English)
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16 June 2014
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vector autoregressive process
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vector error correction model
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cointegration
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reduced rank estimation
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maximum likelihood estimation
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multi-variate GARCH
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