scientific article; zbMATH DE number 1821192
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Publication:4779827
zbMath1038.91071MaRDI QIDQ4779827
Publication date: 28 October 2002
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
cointegrationrisk measurementmultivariate GARCHchange-point detectionlong memory time seriesvector autoregression modelextreme values distribution
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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