A Multivariate Generalized Orthogonal Factor GARCH Model

Journal of Business and Economic Statistics 2007 / 01 Vol. 25; Iss. 1

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku, Saikkonen, Pentti
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Volume:
25
Language:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.1198/073500106000000404
Date:
January, 2007
File:
PDF, 502 KB
english, 2007
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