Efficient estimation of a multivariate multiplicative volatility model
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Publication:736688
DOI10.1016/j.jeconom.2010.04.007zbMath1431.62381OpenAlexW2100500993MaRDI QIDQ736688
Christian M. Hafner, Oliver B. Linton
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://sticerd.lse.ac.uk/dps/em/em541.pdf
Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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