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  • Search: subject:"Deterministically varying correlation"
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Year of publication
Subject
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ARCH model 2 ARCH-Modell 2 Correlation 2 Estimation 2 Estimation theory 2 Korrelation 2 Multivariate Analyse 2 Multivariate analysis 2 Schätztheorie 2 Schätzung 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 multiplicative time-varying GARCH 2 multivariate GARCH 2 nonstationary volatility 2 smooth transition GARCH 2 Deterministically varying correlation 1 deterministically varying correlation 1
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Free 2 CC license 1
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Article 1 Book / Working Paper 1
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 2
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Jakobsen, Johan Stax 2 Kang, Jian 2 Silvennoinen, Annastiina 2 Teräsvirta, Timo 2 Wade, Glen 2
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CREATES research paper 1 Econometrics : open access journal 1
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ECONIS (ZBW) 2
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://www.econbiz.de/10013459316
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