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...

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Bibliographic Details
Main Authors: McAleer, M., Chan, Felix, Hoti, S., Lieberman, O.
Format: Journal Article
Published: Cambridge University Press 2008
Online Access:http://hdl.handle.net/20.500.11937/33440