Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (Q4979108)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity |
scientific article; zbMATH DE number 6304784
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity |
scientific article; zbMATH DE number 6304784 |
Statements
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (English)
0 references
16 June 2014
0 references
vector autoregressive process
0 references
vector error correction model
0 references
cointegration
0 references
reduced rank estimation
0 references
maximum likelihood estimation
0 references
multi-variate GARCH
0 references
0.8144236207008362
0 references
0.7920260429382324
0 references
0.7919498085975647
0 references
0.787492573261261
0 references
0.7699193358421326
0 references
