Joint modeling of cointegration and conditional heteroscedasticity with applications
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
- Mikael Bask & Jarko Fidrmuc, 2009.
"Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs,"
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"Measuring Persistence in Volatility Spillovers,"
Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79850, Verein für Socialpolitik / German Economic Association.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Working Papers 0543, University of Heidelberg, Department of Economics.
- Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems 473, University of Regensburg, Department of Economics.
More about this item
KeywordsCointegration; full rank maximum likelihood estimator; least squares estimator; partially nonstationary; reduced rank MLE; vector AR-GARCH model;
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