Multivariate GARCH Models
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Publication:3646955
DOI10.1007/978-3-540-71297-8_9zbMath1178.62103OpenAlexW3021739894MaRDI QIDQ3646955
Annastiina Silvennoinen, Timo Teräsvirta
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
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)
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