scientific article; zbMATH DE number 6612015

MaRDI QIDQ2993358zbMATH OpenFDO

Authors Qianshu Wei, Lixin Song, Xiaoguang Wang

Publication date 10 August 2016

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)

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Cited in

(2)

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

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