Testing for volatility interactions in the Constant Conditional Correlation GARCH model (Q3566443): Difference between revisions
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Revision as of 12:49, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for volatility interactions in the Constant Conditional Correlation GARCH model |
scientific article |
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Testing for volatility interactions in the Constant Conditional Correlation GARCH model (English)
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8 June 2010
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conditional correlations
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Lagrange multiplier test
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Monte Carlo simulation
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multivariate GARCH
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volatility interactions
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