搜索结果: 1-1 共查到“国际统计学其他学科 Model”相关记录1条 . 查询时间(0.25 秒)
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 ...