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On a multivariate conditional heteroscedastic model |
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| Authors: | WONG HEUNG; LI W K |
| Institution: | Department of Applied Mathematics, The Hong Kong Polytechnic University Hung Horn, Hong Kong e-mail: MATHWONG{at}polyu.edu.hk Department of Statistics, The University of Hong Kong Pokfulam Road, Hong Kong e-mail: HRNTLWK{at}hkucc.hku.hk |
| Abstract: | |
| Keywords: | Causality in volatillity Conditional heteroscedastic ARMA model Ramdom coefficient model Volatility |
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