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Testing the structure of conditional correlations in multivariate GARCH models : a generalized cross-spectrum approach
McCloud, Nadine; Hong, Yongmiao - In: International economic review 52 (2011) 4, pp. 991-1037
Persistent link: https://www.econbiz.de/10009385429
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Testing strict stationarity with applications to macroeconomic time series
Hong, Yongmiao; Wang, Xia; Wang, Shouyang - In: International economic review 58 (2017) 4, pp. 1227-1277
Persistent link: https://www.econbiz.de/10011860376
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Regularized gmm for time-varying models with applications to asset pricing
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao - In: International economic review 65 (2024) 2, pp. 851-883
Persistent link: https://www.econbiz.de/10014538940
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TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS‐SPECTRUM APPROACH*
McCloud, Nadine; Hong, Yongmiao - In: International economic review 52 (2011) 4, pp. 991-1038
Persistent link: https://www.econbiz.de/10009803303