Related commodity markets and conditional correlations
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Publication:2486205
DOI10.1016/j.matcom.2005.02.016zbMath1114.91347OpenAlexW2041252652MaRDI QIDQ2486205
Michael McAleer, Clinton Watkins
Publication date: 5 August 2005
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2005.02.016
Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82)
Cites Work
- Properties of moments of a family of GARCH processes
- Generalized autoregressive conditional heteroscedasticity
- Stationarity and the existence of moments of a family of GARCH processes.
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
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