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Inference for some multivariate ARCH and GARCH models
Vrontos, I. D.; Dellaportas, Petros; Politis, Dimitris N. - In: Journal of forecasting 22 (2003) 6/7, pp. 427-446
Persistent link: https://www.econbiz.de/10001836432
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A full-factor multivariate GARCH model
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: The econometrics journal 6 (2003) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10001831255
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Full Bayesian inference for GARCH and EGARCH models
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10001469681