Estimating multivariate volatility models equation by equation (Q5378149)
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scientific article; zbMATH DE number 7064967
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| English | Estimating multivariate volatility models equation by equation |
scientific article; zbMATH DE number 7064967 |
Statements
Estimating Multivariate Volatility Models Equation by Equation (English)
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12 June 2019
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constant conditional correlation
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dynamic conditional correlation
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multivariate generalized auto-regressive conditional heteroscedasticity specification testing
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quasi-maximum-likelihood estimation
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0.8523658514022827
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0.8214980959892273
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0.820243775844574
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0.803871750831604
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0.791081964969635
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