Wild bootstrap Ljung-Box test for cross correlations of multivariate time series (Q1672587)
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scientific article; zbMATH DE number 6934509
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| default for all languages | No label defined |
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| English | Wild bootstrap Ljung-Box test for cross correlations of multivariate time series |
scientific article; zbMATH DE number 6934509 |
Statements
Wild bootstrap Ljung-Box test for cross correlations of multivariate time series (English)
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11 September 2018
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CCC-GARCH
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cross correlation
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Ljung-Box test
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multivariate time series
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VAR
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wild bootstrap
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0.7795804142951965
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0.772746741771698
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0.7723510265350342
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0.7678458094596863
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0.7607787847518921
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