Estimating the error distribution in multivariate heteroscedastic time-series models

Gunky Kim; Mervyn Joseph Silvapulle; Paramsothy Silvapulle

doi:10.1016/j.jspi.2007.07.001

Estimating the error distribution in multivariate heteroscedastic time-series models

Gunky Kim, Mervyn Joseph Silvapulle, Paramsothy Silvapulle

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

10 Citations (Scopus)

Original language	English
Pages (from-to)	1442 - 1458
Number of pages	17
Journal	Journal of Statistical Planning and Inference
Volume	138
Issue number	5
DOIs	https://doi.org/10.1016/j.jspi.2007.07.001
Publication status	Published - 2008

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10.1016/j.jspi.2007.07.001

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Cite this

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title = "Estimating the error distribution in multivariate heteroscedastic time-series models",

author = "Gunky Kim and Silvapulle, {Mervyn Joseph} and Paramsothy Silvapulle",

year = "2008",

doi = "10.1016/j.jspi.2007.07.001",

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volume = "138",

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journal = "Journal of Statistical Planning and Inference",

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AU - Kim, Gunky

AU - Silvapulle, Mervyn Joseph

AU - Silvapulle, Paramsothy

PY - 2008

Y1 - 2008

UR - http://www.sciencedirect.com.ezproxy.lib.monash.edu.au/science/article/pii/S0378375807002790/pdfft?md5=2a1f3ed18cb061d482335cb8799002be&pid=1-s2.0-S0378375807002790-main.pdf

U2 - 10.1016/j.jspi.2007.07.001

DO - 10.1016/j.jspi.2007.07.001

M3 - Article

VL - 138

SP - 1442

EP - 1458

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

SN - 0378-3758

IS - 5

ER -