Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
Year of publication: |
2014
|
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Authors: | Kim, Dukpa |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 123.2014, 3, p. 282-286
|
Subject: | Heteroskedasticity | Local scale | Iteratively reweighted least squares | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | VAR-Modell | VAR model | Volatilität | Volatility | ARCH-Modell | ARCH model |
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