Multivariate ARCH with spatial effects for stock sector and size
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References listed on IDEAS
- Won Koh & Badi H. Baltagi & Seuck Heun Song, 2004.
"Testing for Serial Correlation, Spatial Autocorrelation and Random Effects,"
Econometric Society 2004 Far Eastern Meetings
415, Econometric Society.
- Won Koh & Byoung Cheol Jung & Badi H. Baltagi & Seuck Heun Song, 2004. "Testing for Serial Correlation, Spatial Autocorrelation and Random Effects," Econometric Society 2004 Australasian Meetings 338, Econometric Society.
- Jurgen A. Doornik & Henrik Hansen, 2008.
"An Omnibus Test for Univariate and Multivariate Normality,"
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Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
- Jurgen A Doornik & Henrik Hansen, "undated". "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
- Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, June.
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More about this item
KeywordsSpatial models; GARCH; Volatility; Large scale models; Portfolio allocation.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-ECM-2007-01-23 (Econometrics)
- NEP-ETS-2007-01-23 (Econometric Time Series)
- NEP-FMK-2007-01-23 (Financial Markets)
- NEP-GEO-2007-01-23 (Economic Geography)
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