A Sufficient Condition for the Positive Definiteness of the Covariance Matrix of a Multivariate GARCH Model
Year of publication: |
2001
|
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Authors: | Silberberg, Gheorghe ; Pafka, Szilard |
Publisher: |
[S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis |
Extent: | 1 Online-Ressource (7 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2001 erstellt |
Other identifiers: | 10.2139/ssrn.275136 [DOI] |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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