Constructing an information matrix for multivariate DCC-MGARCH (1, 1) method
The analytic form of Fisher Information Matrix (IM) for DCC-MGARCH (1, 1) was suggested. After that, it was applied for simplifying the general algorithm: the statistical hypothesis about constant correlation matrix usage was put forward and statistical verification was made. IM...
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| Main Authors: | , , |
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| Format: | Indexed Article |
| Language: | English |
| Published: |
Asian Research Publishing Network (ARPN)
2018
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| Online Access: | http://discol.umk.edu.my/id/eprint/7369/1/jeas_0418_7003.pdf http://discol.umk.edu.my/id/eprint/7369/ |
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