Pages that link to "Item:Q3566443"

The following pages link to Testing for volatility interactions in the Constant Conditional Correlation GARCH model (Q3566443):

Displaying 20 items.

• Inference and testing on the boundary in extended constant conditional correlation GARCH models (Q341884) (← links)
• Wild bootstrap tests for autocorrelation in vector autoregressive models (Q1685299) (← links)
• Testing linear causality in mean when the number of estimated parameters is high (Q1952197) (← links)
• The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693) (← links)
• Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis (Q2151660) (← links)
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics (Q2171628) (← links)
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
• Digital Currencies: A Multivariate GARCH Approach (Q3294783) (← links)
• NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (Q3577703) (← links)
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
• Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
• How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
• Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254) (← links)
• On the relationship between the matrix operators, vech and vecd (Q5160251) (← links)
• Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487) (← links)
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639) (← links)
• On spatial contagion and multivariate GARCH models (Q6570580) (← links)
• Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation (Q6581766) (← links)
• Exchange rate risk and sectoral returns: A wavelet-based MRA-EDCC GARCH analysis (Q6587719) (← links)