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Economics Letters
Volumn 91, Issue 1, 2006, Pages 110-116
The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
Author keywords

Comovement; Conditional correlation; GARCH
Indexed keywords

EID: 33645752738     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.11.006     Document Type: Article
Times cited : (37)
References (11)
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    • Baxter, M.1    King, R.G.2
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    • Quasi maximum likelihood estimation of dynamic models with time varying covariance
    • Bollerslev T., and Wooldridge J.M. Quasi maximum likelihood estimation of dynamic models with time varying covariance. Econometric Reviews 11 (1992) 143-172
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  • 5
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    • The Lagrange multiplier test and its applications to model specification in econometrics
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    • A test for constant correlations in a multivariate GARCH model
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.