Browsing Working Papers by Subject "multivariate GARCH"

Now showing items 1-1 of 1

Title: Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...

Now showing items 1-1 of 1

Browse