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A closed-form estimator for the multivariate GARCH(1,1) model
Multivariate GARCH(1,1) VARMA Temporal Aggregation Es-timation
2013/4/27
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show ...