Diagnostic checking of the vector multiplicative error model (Q1660140)
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scientific article; zbMATH DE number 6918655
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diagnostic checking of the vector multiplicative error model |
scientific article; zbMATH DE number 6918655 |
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Diagnostic checking of the vector multiplicative error model (English)
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15 August 2018
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multivariate portmanteau test
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autoregressive conditional duration
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GARCH model
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realized volatility
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