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Reducing the state space dimension in a large TVP-VAR

Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118

Persistent link: https://www.econbiz.de/10012482932

Estimating high dimensional multivariate stochastic volatility models

Pelagatti, Matteo; Sbrana, Giacomo - 2020

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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models

Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436

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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130