Matrix exponential GARCH

Journal of Econometrics

Volumn 134, Issue 1, 2006, Pages 95-128

  Kawakatsu, Hiroyuki ^a  

^a QUEEN'S UNIVERSITY BELFAST   (United Kingdom)

Author keywords

Matrix exponential; Multivarate GARCH; Non nested tests

Indexed keywords

CONSTRAINT THEORY; MATHEMATICAL TRANSFORMATIONS; SPECIFICATIONS;

DIAGNOSTICS; MATRIX EXPONENTIAL; MULTIVARATE GARCH; NON-NESTED TESTS;

MATRIX ALGEBRA;

EID: 33746257777     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.023     Document Type: Article

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