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  • Search: subject:"error covariance"
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Year of publication
Subject
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Stochastic volatility in mean 5 VAR 5 Correlation 4 Korrelation 4 VAR model 4 VAR-Modell 4 error covariance 4 Lagrange multiplier test 3 Monte Carlo simulation 3 Risikomaß 3 Risk measure 3 Stochastic process 3 Stochastischer Prozess 3 Theorie 3 Theory 3 Volatility 3 Volatilität 3 ARCH model 2 ARCH-Modell 2 Estimation theory 2 Forecasting model 2 Prognoseverfahren 2 Schätztheorie 2 error covariance structure 2 model misspecification 2 Algorithm 1 Algorithmus 1 Arbeitsmobilität 1 Asymptotic property 1 Auxiliary regression 1 BEKK GARCH Model 1 Börsenkurs 1 Capital income 1 Causality analysis 1 Coal mining 1 Conditional forecast error covariance matrix 1 Conditional mean forecast 1 Covariance constancy 1 Error covariance 1 Error covariance matrix 1
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Online availability
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Free 8 Undetermined 3 CC license 1
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
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Working Paper 4 Article in journal 3 Aufsatz in Zeitschrift 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 7 Undetermined 4
Author
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Mumtaz, Haroon 5 Alam, Iskandar Ali 1 Ding, Zhuanxin 1 Eklund, Bruno 1 Hairani, Tuti 1 Kulasekera, K.B. 1 Luo, June 1 Martin, R. Douglas 1 Mustofa Usman 1 Russel, Edwin 1 Teräsvirta, Timo 1 Wamiliana 1 Widiarti 1 YANG, Yukai 1 Yang, Chaojun 1 Yang, Yukai 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 School of Economics and Management, University of Aarhus 1
Published in...
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Working Paper 2 Working paper 2 CORE Discussion Papers 1 CREATES Research Papers 1 Economics letters 1 International Journal of Energy Economics and Policy : IJEEP 1 SSE/EFI Working Paper Series in Economics and Finance 1 Statistics & Probability Letters 1 The journal of asset management 1
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Source
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ECONIS (ZBW) 5 RePEc 4 EconStor 2
Showing 11 - 11 of 11
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Testing constancy of the error covariance matrix in vector models
Eklund, Bruno; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2003
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...
Persistent link: https://www.econbiz.de/10005190819
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