Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
Taewook Lee
| Year of publication: |
October 2016
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|---|---|
| Authors: | Lee, Taewook |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 147.2016, p. 59-62
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| Subject: | CCC-GARCH | Cross correlation | Ljung-Box test | Multivariate time series | VAR | Wild bootstrap | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Statistischer Test | Statistical test | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.08.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011619440