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Essentials of Time Series for Financial Applications

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  • About the authors
  • Chapters
    • Chapter 1: Linear Regression Model
    • Chapter 2: Autoregressive Moving Average (ARMA) Models and Their Practical Applications
    • Chapter 3: Vector Autoregressive Moving Average (VARMA) Models
      • Chapter 3 – Online Appendix
    • Chapter 4: Unit Roots and Cointegration
    • Chapter 5: Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH
      • Chapter 5 – Online Appendix
    • Chapter 6: Multivariate GARCH and Conditional Correlation Models
    • Chapter 7: Multifactor Heteroskedastic Models, Stochastic Volatility
    • Chapter 8: Models With Breaks, Recurrent Regime Switching, and Nonlinearities
    • Chapter 9: Markov Switching Models
      • Chapter 9 – Online Appendix
    • Chapter 10: Realized Volatility and Covariance
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Chapter 3 – Online Appendix

The supplementary material further discusses the result found in Section 3.2 of Chapter 3, i.e. the fact that for an unconstrained VAR, the ML and OLS estimators are the same under the assumption of Gaussian innovations.

Click on the link below to open the PDF version of the appendix.

Chapter 3 – Online Material

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