Volatility Estimation of Multivariate ARMA?GARCH Model

Pengfei Xie Jimin Ye Junyuan Wang

哈尔滨工业大学学报（英文版）2020，Vol.27Issue(1)：36-43,8.

哈尔滨工业大学学报（英文版）2020，Vol.27Issue(1)：36-43,8.DOI:10.11916/j.issn.1005⁃9113.18077

Pengfei Xie ¹Jimin Ye ¹Junyuan Wang¹

作者信息

1. School of Mathematics and Statistics, Xidian University, Xi' an 710071, China
折叠

structural autoregressive moving⁃average/multivariate GARCH/independent component/causal structure/volatility

structural autoregressive moving⁃average/multivariate GARCH/independent component/causal structure/volatility

管理科学

Pengfei Xie,Jimin Ye,Junyuan Wang..Volatility Estimation of Multivariate ARMA?GARCH Model[J].哈尔滨工业大学学报（英文版）,2020,27(1):36-43,8.

Sponsored by the National Natural Science Foundation of China ( Grant No. 61573014) （ Grant No. 61573014）

ISSN：1005-9113

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