Modelling subset multivariate ARCH model via the AIC principle
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Publication:2503826
zbMath1098.62547MaRDI QIDQ2503826
Hong-Zhi An, Pak Wing Fong, Wai Keung Li
Publication date: 22 September 2006
Published in: Science in China. Series A (Search for Journal in Brave)
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)