Joint modeling of cointegration and conditional heteroscedasticity with applications

Keyphrases

• Maximum Likelihood Estimator 100%
• Cointegration 100%
• Joint Modeling 100%
• Conditional Heteroscedasticity 100%
• Copyright 50%
• Stock Exchange 50%
• Monte Carlo Experiment 50%
• Exchange Rate 50%
• Time Series Model 50%
• AR-GARCH 50%
• Least Squares Estimation 50%
• Statistical Mathematics 50%
• Full Rank 50%
• Finite Sample Properties 50%
• Reduced Rank 50%
• International Stock Indices 50%
• Index Rate 50%

Mathematics

• Maximum Likelihood Estimator 100%
• Cointegration 100%
• Conditionals 100%
• Heteroscedasticity 100%
• Joint Modeling 100%
• Mathematics 50%
• Time Series Model 50%
• Square Estimator 50%
• Monte Carlo Method 50%
• Least Squares Method 50%