Testing the structure of conditional correlations in multivariate GARCH models : a generalized cross-spectrum approach
by Nadine McCloud and Yongmiao Hong
| Year of publication: |
2011
|
|---|---|
| Authors: | McCloud, Nadine ; Hong, Yongmiao |
| Published in: |
International economic review. - Hoboken, NJ : Wiley-Blackwell, ISSN 0020-6598, ZDB-ID 209871-4. - Vol. 52.2011, 4, p. 991-1037
|
| Subject: | ARCH-Modell | ARCH model | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Statistischer Test | Statistical test | Futures | Theorie | Theory | USA | United States | 1988-2003 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009385429