Canonical correlation analysis for the vector AR(1) model with ARCH innovations

Journal of Statistical Planning and Inference

Volumn 138, Issue 9, 2008, Pages 2826-2836

  Tsay, Ruey S ^a   Ling, Shiqing ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Asymptotic distribution; Canonical correlations and vectors; Conditional heteroscedasticity; Eigenvalues and eigenvectors

Indexed keywords

EID: 43849083097     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2008.03.022     Document Type: Article

References (22)

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