Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations
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DOI: 10.1080/00949655.2025.2498475
Abstract: This article proposes the autoregressive models with multivariate generalized orthogonal GARCH errors driven by the Gaussian and non-Gaussian (skew-normal) innovations as alternative models for financial time series. The variant of the second-order blind identification (υ**SOBI)… read more here.
Keywords: method; application vector; valued gogarch; vector valued ... See more keywords