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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong
;
Fan, Yanqin
;
Patton, Andrew J.
-
London School of Economics (LSE)
-
2004
paper we develop two simple
goodness-of-fit
tests
for such models. We use these tests to determine whether the multivariate …
Persistent link: https://www.econbiz.de/10010746302
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