Joint modeling of cointegration and conditional heteroscedasticity with applications

Heung Wong, W. Li and Shiqing Ling ()

Annals of the Institute of Statistical Mathematics, 2005, vol. 57, issue 1, 83-103

Keywords: Cointegration; full rank maximum likelihood estimator; least squares estimator; partially nonstationary; reduced rank MLE; vector AR-GARCH model (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/BF02506881

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