MULTIVARIATE ECOGARCH PROCESSES

DOI10.1017/S0266466610000289zbMath1210.62119WikidataQ59278110 ScholiaQ59278110MaRDI QIDQ3168874

Robert Stelzer, Stephan Haug

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

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

91G70: Statistical methods; risk measures