Open AccessOn multivariate GARCH model selection based on risk management
Author(s) -
SeRin Park,
Changryong Baek
Publication year - 2014
Publication title -
journal of the korean data and information science society
Language(s) - English
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2014.25.6.1333
Subject(s) - autoregressive conditional heteroskedasticity , univariate , multivariate statistics , econometrics , index (typography) , statistics , mathematics , economics , computer science , volatility (finance) , world wide web