A multivariate generalized orthogonal factor GARCH model

Journal of Business and Economic Statistics

Volumn 25, Issue 1, 2007, Pages 61-75

  Lanne, Markku ^a   Saikkonen, Pentti ^a  

^a UNIVERSITY OF HELSINKI   (Finland)

Author keywords

Factor model; Mixture of normal distributions; Multivariate GARCH

Indexed keywords

EID: 33846041071     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000404     Document Type: Article

References (23)

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