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  • Search: subject:"DCC multivariate GARCH model"
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Year of publication
Subject
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DCC multivariate GARCH model 2 Contagion 1 Contagion effect 1 ICSS algorithm 1 Stock market 1 Subprime crisis 1 structural break 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Bazin, Damien 1 Boujelbène, Younes 1 Chihi-Bouaziz, Meriam 1 Hachicha, Nejib 1 Nguyen Thi, Thanh-Binh 1 Selmi, Nadhem 1 Wang, Kuan-Min 1
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Institution
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HAL 1
Published in...
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Physica A: Statistical Mechanics and its Applications 1 Post-Print / HAL 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Testing for Contagion of the Subprime Financial Crisis under Asymmetric Dynamics
Selmi, Nadhem; Chihi-Bouaziz, Meriam; Hachicha, Nejib; … - HAL - 2013
error distribution, and compute dynamic conditional correlation coefficients of DCC multivariate GARCH model. Finally we …
Persistent link: https://www.econbiz.de/10010933789
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Cover Image
Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan
Wang, Kuan-Min; Nguyen Thi, Thanh-Binh - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 422-432
conditional correlation coefficients of DCC multivariate GARCH model. The third step employs one-step and N-step forecast test to …
Persistent link: https://www.econbiz.de/10011058170
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