"A closed-form estimator for the multivariate GARCH(1, 1)(1, 1) model."

Giacomo Sbrana, Federico Poloni (2013)

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DOI: 10.1016/J.JMVA.2013.05.005

access: open

type: Journal Article

metadata version: 2021-02-17

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Giacomo Sbrana, Federico Poloni:
A closed-form estimator for the multivariate GARCH(1, 1)(1, 1) model. J. Multivar. Anal. 120: 152-162 (2013)

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