A Student-\(t\) full factor multivariate GARCH model
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Publication:2655303
DOI10.1007/s10614-009-9179-1zbMath1310.91147OpenAlexW2064423175MaRDI QIDQ2655303
K. Diamantopoulos, Ioannis D. Vrontos
Publication date: 25 January 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-009-9179-1
maximum likelihood estimationStudent-\(t\) distributionfat tailsautoregressive conditional heteroscedasticity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Point estimation (62F10)
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