A simple multivariate ARCH model specified by random coefficients

DOI10.1016/j.csda.2005.11.019zbMath1157.62490MaRDI QIDQ1010530

Hong-Zhi An, Wai Keung Li, Pak Wing Fong

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.11.019

zbMATH Keywords

likelihood ratio test; maximum likelihood estimation; Hadamard product; star product; random coefficient model; multivariate autoregressive conditional heteroscedasticity; nonconstant correlation

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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