scientific article; zbMATH DE number 1446115

MaRDI QIDQ4953788zbMATH OpenFDO

Authors Shuangzhe Liu, Wolfgang Polasek

Publication date 18 May 2000

zbMATH Keywords

information matrixmatrix differential calculusVolatile time series

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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(5)

• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
• Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
• A new approach for estimating VAR systems in the mixed-frequency case

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