Multivariate conditional higher moments volatility modeling

MaRDI QIDQ5453313zbMATHFDO

Authors Qifa Xu, Shi-ying Zhang

Publication date 4 April 2008

zbMATH Keywords

independent component analysishigher momentstime-varying riskGram-Charlier series expansionmultivariate GARCHSK model

Mathematics Subject Classification ID

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