Journal of Applied Econometrics Dissertation Prize
نویسندگان
چکیده
منابع مشابه
MULTIVARIATE GARCH MODELS : A SURVEY forthcoming in Journal of Applied Econometrics
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and identifies likely directions of future research.
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from effects of the financial crisis. Precise data sources are given in the appendix. Time series plots for the accession country data series are given in Figures 2.1-2.4. It is obvious from Figures 2.1-2.4 that at least some variables show trending behaviour. A unit root analysis (results not shown) indicates that the unit root hypothesis cannot be rejected for the all the considered time seri...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2008
ISSN: 0883-7252
DOI: 10.1002/jae.1043