A simple multivariate ARCH model specified by random coefficients

Computational Statistics and Data Analysis

Volumn 51, Issue 3, 2006, Pages 1779-1802

  Fong, P W ^a   Li, W K ^a   An, Hong Zhi ^b  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b INSTITUTE OF APPLIED MATHEMATICS   (China)

Author keywords

Hadamard product; Likelihood ratio test; Maximum likelihood estimation; Multivariate autoregressive conditional heteroscedasticity; Nonconstant correlation; Random coefficient model; Star product

Indexed keywords

CORRELATION METHODS; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; MAXIMUM LIKELIHOOD ESTIMATION; PROBLEM SOLVING; REGRESSION ANALYSIS;

HADAMARD PRODUCT; LIKELIHOOD RATIO TEST; NONCONSTANT CORRELATION; RANDOM COEFFICIENT MODEL; STAR PRODUCT;

RANDOM PROCESSES;

EID: 33750739221     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.11.019     Document Type: Article

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