Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487)
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scientific article; zbMATH DE number 7486304
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| English | Robust parametric tests of constant conditional correlation in a MGARCH model |
scientific article; zbMATH DE number 7486304 |
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Robust parametric tests of constant conditional correlation in a MGARCH model (English)
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9 March 2022
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conditional moment tests
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constant conditional correlation
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Monte Carlo
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multivariate GARCH
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robustness
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0.88072205
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0.87247014
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0.87228686
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0.86902964
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0.8686209
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0.8679657
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0.8670465
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