Multivariate GARCH Models
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Publication:3646955
DOI10.1007/978-3-540-71297-8_9zbMath1178.62103MaRDI QIDQ3646955
Timo Teräsvirta, Annastiina Silvennoinen
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0669.pdf
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H15: Hypothesis testing in multivariate analysis
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