ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density (Q6075127)

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scientific article; zbMATH DE number 7752697
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ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
scientific article; zbMATH DE number 7752697

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    ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density (English)
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    20 October 2023
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    alternating ECM algorithm
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    high frequency returns
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    persistence
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    vector ARMA model
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