A closed-form estimator for the multivariate GARCH $(1,1)$ model

Sbrana, Giacomo; Poloni, Federico

doi:10.1016/j.jmva.2013.05.005

by Giacomo Sbrana, Federico Poloni

Reference:

A closed-form estimator for the multivariate GARCH $(1,1)$ model (Giacomo Sbrana, Federico Poloni), In J. Multivariate Anal., volume 120, 2013.

Bibtex Entry:

@ARTICLE{SbrP13,
  author = {Sbrana, Giacomo and Poloni, Federico},
  title = {A closed-form estimator for the multivariate {GARCH} {$(1,1)$} model},
  journal = {J. Multivariate Anal.},
  year = {2013},
  volume = {120},
  pages = {152--162},
  doi = {10.1016/j.jmva.2013.05.005},
  fjournal = {Journal of Multivariate Analysis},
  issn = {0047-259X},
  mrclass = {Preliminary Data},
  mrnumber = {3072723},
  pdf = {files2/SbrP13_closed_form_GARCH.pdf},
  url = {http://dx.doi.org/10.1016/j.jmva.2013.05.005}
}