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

Giacomo Sbrana Federico Poloni

Published in: J. Multivar. Anal. (2013)

Keyphrases

closed form
garch model
multivariate time series
stock market
least squares
maximum likelihood
temporal data
heavy tailed
hyperparameters
sar images
closed form solutions
temporal patterns
categorical data
human motion
image sequences
long term
multiscale