Testing for vector autoregressive dynamics under heteroskedasticity
Year of publication: |
2002-10-09
|
---|---|
Authors: | Hafner, C.M. ; Herwartz, H. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | Vector autoregression | Hypothesis testing | Heteroskededasticity | Bootstrap | Causality | Energy markets |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2002-36 |
Source: |
-
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian Matthias, (2002)
-
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M., (2002)
-
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M., (2002)
- More ...
-
Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, C.M., (2003)
-
Testing for causality in variance using multivariate GARCH models
Hafner, C.M., (2004)
-
Semiparametric multivariate volatility models
Hafner, C.M., (2004)
- More ...