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  • Search: subject:"determinant of the change in the covariance matrix"
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Markov-switching vector autoregressive 1 contagion 1 determinant of the change in the covariance matrix 1 stock returns 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Pontines, Victor 1 Siregar, Reza Y. 1
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School of Economics, University of Adelaide 1
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School of Economics Working Papers 1
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RePEc 1
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Tranquil and Crisis Windows, Heteroscedasticity, and Contagion Measurement: MS-VAR Application of the DCC Procedure
Pontines, Victor; Siregar, Reza Y. - School of Economics, University of Adelaide - 2007
The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance Matrix (DCC) procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e., tranquil and crisis periods and the violation of its heteroscedasticity...
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