scientific article; zbMATH DE number 6612015

zbMATH Open1349.62431MaRDI QIDQ2993358FDOQ2993358

Authors: Qianshu Wei, Lixin Song, Xiaoguang Wang 

Publication date: 10 August 2016

Title of this publication is not available (Why is that?)

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zbMATH Keywords

exogenous variablesdynamic conditional correlationAsian stock marketmultivariate conditional heteroscedastic modeltwo-step maximum likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (2)

• Dynamic Seemingly Unrelated Cointegrating Regressions
• Estimation and empirical performance of non-scalar dynamic conditional correlation models

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