A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade
| Year of publication: |
2022
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|---|---|
| Authors: | Kang, Jian ; Jakobsen, Johan Stax ; Silvennoinen, Annastiina ; Teräsvirta, Timo ; Wade, Glen |
| Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
| Subject: | Deterministically varying correlation | multiplicative time-varying GARCH | multivariate GARCH | nonstationary volatility | smooth transition GARCH | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Schätztheorie | Estimation theory | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis |
freely available
| Extent: | 1 Online-Ressource (circa 68 Seiten) Illustrationen |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2022, 01 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816369