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On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840656
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012
Persistent link: https://www.econbiz.de/10009515469
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Measuring common cyclical features during financial turmoil : evidence of interdependence not contagion
Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - In: Journal of international money and finance 24 (2005) 8, pp. 1317-1334
Persistent link: https://www.econbiz.de/10003229309
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Measuring common cyclical features during financial turmoil
Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - 2002
Persistent link: https://www.econbiz.de/10001720545
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Unit root tests with level shift in the presence of GARCH
Hecq, Alain W. J. - 1994
Persistent link: https://www.econbiz.de/10000901026
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of time series econometrics 8 (2016) 2, pp. 91-113
Persistent link: https://www.econbiz.de/10011582755