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~isPartOf:"Econometrics : open access journal"
~isPartOf:"International review of economics & finance : IREF"
~person:"Chang, Chia-Lin"
~subject:"Estimation theory"
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Asymptotic and finite sample properties for multivariate rotated
GARCH
models
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Econometrics : open access journal
9
(
2021
)
2
,
pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated
GARCH
…
Persistent link: https://www.econbiz.de/10012547429
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