A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications
Year of publication: |
2006
|
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Authors: | Sin, Chor-yiu |
Published in: |
Econometric analysis of financial and economic time series. - Bingley, U.K : Emerald, ISBN 978-1-84950-389-1. - 2006, p. 125-151
|
Subject: | Theorie | Theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Hongkong | Hong Kong |
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