Generalized autoregressive conditional correlation
This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, Journal of the American Statistical Association 82, 590-604) random co...
| Main Authors: | , , , |
|---|---|
| Format: | Journal Article |
| Published: |
Cambridge University Press
2008
|
| Online Access: | http://hdl.handle.net/20.500.11937/33440 |