Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market
Year of publication: |
2008
|
---|---|
Authors: | Minovic, Jelena |
Published in: |
Economic Analysis. - Institut Ekonomskih Nauka, ISSN 1821-2573. - Vol. 41.2008, 1-2, p. 73-87
|
Publisher: |
Institut Ekonomskih Nauka |
Subject: | Multivariate GARCH models | Ljung-Box statistics | residual-based diagnostics | Lagrange Multiplier test |
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