The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
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- David K. Backus & Patrick J. Kehoe, 1992.
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92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
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- David K. Backus & Patrick J. Kehoe, 1991. "International evidence on the historical properties of business cycles," Staff Report 145, Federal Reserve Bank of Minneapolis.
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- den Haan, Wouter J., 2000.
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- Tom Doan, . "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.
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"The Cyclical Behavior Of Prices,"
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- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
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- Tom Doan, . "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
- Tom Doan, . "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
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