Feasible generalized least squares estimation of multivariate GARCH(1,1) models

Poloni, Federico; Sbrana, Giacomo

doi:10.1016/j.jmva.2014.04.015

by Federico Poloni, Giacomo Sbrana

Reference:

Feasible generalized least squares estimation of multivariate GARCH(1,1) models (Federico Poloni, Giacomo Sbrana), In J. Multivariate Anal., volume 129, 2014.

Bibtex Entry:

@Article{PolS14,
  Title                    = {Feasible generalized least squares estimation of multivariate {GARCH}(1,1) models},
  Author                   = {Poloni, Federico and Sbrana, Giacomo},
  Journal                  = {J. Multivariate Anal.},
  Year                     = {2014},
  Pages                    = {151--159},
  Volume                   = {129},
  Doi                      = {10.1016/j.jmva.2014.04.015},
  Fjournal                 = {Journal of Multivariate Analysis},
  ISSN                     = {0047-259X},
  Mrclass                  = {Preliminary Data},
  Mrnumber                 = {3215986},
  Url                      = {http://dx.doi.org/10.1016/j.jmva.2014.04.015},
  pdf = {files2/PolS14_our.pdf}
}