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  • Search: subject:"Time-varying covariance matrices"
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Year of publication
Subject
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Lagrange multiplier test 3 Portmanteau test 3 ARCH model 2 ARCH-Modell 2 Dynamic conditional score 2 EGARCH 2 Linear algebra 2 Lineare Algebra 2 Statistical test 2 Statistischer Test 2 Time series analysis 2 Time-varying covariance matrices 2 Zeitreihenanalyse 2 Correlation 1 Estimation theory 1 Korrelation 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 test, Time-varying covariance matrices 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Thiele, Stephen 3 Harvey, Andrew C. 2 Harvey, Andrew 1
Institution
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Faculty of Economics, University of Cambridge 1
Published in...
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Cambridge Working Papers in Economics 1 Cambridge working papers in economics 1 Journal of empirical finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Testing against Changing Correlation
Harvey, Andrew; Thiele, Stephen - Faculty of Economics, University of Cambridge - 2014
A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011098081
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Cover Image
Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010504846
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Cover Image
Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - In: Journal of empirical finance 38 (2016), pp. 575-589
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011663373
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