Robust parametric tests of constant conditional correlation in a MGARCH model
Wasel Shadat and Chris Orme
| Year of publication: |
2018
|
|---|---|
| Authors: | Shadat, Wasel ; Orme, Chris D. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 6/10, p. 551-576
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| Subject: | Conditional moment tests | constant conditional correlation | Monte Carlo | multivariate GARCH | robustness | ARCH-Modell | ARCH model | Korrelation | Correlation | Monte-Carlo-Simulation | Monte Carlo simulation | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Statistischer Test | Statistical test | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1122120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012039397