Karl, Härdle Wolfgang; Ostap, Okhrin; Yarema, Okhrin - In: Statistics & Risk Modeling 30 (2013) 4, pp. 361-388
There is an increasing demand for models of multivariate time-series with time-varying and non-Gaussian dependencies. The available models suffer from the curse of dimensionality or from restrictive assumptions on the parameters and distributions. A promising class of models is that of...