On the Phase Dependence in Time-Varying Correlations Between Time-Series
Year of publication: |
2013-04-04
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Authors: | Blasques, Francisco |
Institutions: | Tinbergen Instituut |
Subject: | nonparametric | phase-dependence | time-varying correlation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 13-054/III |
Classification: | C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models |
Source: |
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On the Phase Dependence in Time-Varying Correlations Between Time-Series
Blasques, Francisco, (2013)
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On the phase dependence in time-varying correlations between time-series
Blasques, Francisco, (2013)
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Schlag, Karl, (2008)
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Blasques, Francisco, (2014)
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Information Theoretic Optimality of Observation driven Time Series Models
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Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
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