Testing for volatility interactions in the Constant Conditional Correlation GARCH model (Q3566443)
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scientific article; zbMATH DE number 5717883
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| English | Testing for volatility interactions in the Constant Conditional Correlation GARCH model |
scientific article; zbMATH DE number 5717883 |
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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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0.90710366
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0.89866704
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0.8947166
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0.8934484
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0.8914312
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0.88770354
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