A test for constant correlations in a multivariate GARCH model (Q1584770)
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scientific article; zbMATH DE number 1525534
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A test for constant correlations in a multivariate GARCH model |
scientific article; zbMATH DE number 1525534 |
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A test for constant correlations in a multivariate GARCH model (English)
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17 September 2001
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information matrix test
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Lagrange multiplier test
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Monte Carlo experiment
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multivariate conditional heteroscedasticity
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constant-correlation hypothesis
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