Pages that link to "Item:Q1584770"

The following pages link to A test for constant correlations in a multivariate GARCH model (Q1584770):

Displaying 25 items.

• Testing constancy of the error covariance matrix in vector models (Q451274) (← links)
• Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (Q834310) (← links)
• The impact of general non-parametric volatility functions in multivariate GARCH models (Q959389) (← links)
• Diagnostics for conditional heteroscedasticity models: some simulation results. (Q1418612) (← links)
• The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
• Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets (Q3087577) (← links)
• Influence diagnostics for multivariate GARCH processes (Q3103184) (← links)
• Digital Currencies: A Multivariate GARCH Approach (Q3294783) (← links)
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model (Q3566443) (← links)
• Residual‐based diagnostics for conditional heteroscedasticity models (Q4416013) (← links)
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (Q4561954) (← links)
• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (Q4916512) (← links)
• Multivariate Models of Equity Returns for Investment Guarantees Valuation (Q5029055) (← links)
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (Q5080532) (← links)
• A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market (Q5130150) (← links)
• TESTING CONSTANCY OF CONDITIONAL VARIANCE IN HIGH DIMENSION (Q5134495) (← links)
• World Natural Gas Markets: Characteristics, Basic Properties and Linkages of Natural Gas Prices (Q5240328) (← links)
• Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors (Q5299921) (← links)
• Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets (Q5440106) (← links)
• Continuous Time Wishart Process for Stochastic Risk (Q5485103) (← links)
• Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487) (← links)
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639) (← links)
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963) (← links)
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation (Q6138232) (← links)