The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
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- Backus, David K & Kehoe, Patrick J, 1992.
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- Robert F. Engle & Kevin Sheppard, 2001.
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8554, National Bureau of Economic Research, Inc.
- 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.
- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
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- Tom Doan, "undated". "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, "undated". "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
- den Haan, Wouter J., 2000.
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- Tom Doan, "undated". "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.
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