Work

Testing constancy of the error covariance matrix in vector models

Year: 2006

Type: article

Source: Journal of Econometrics

DOI: 10.1016/j.jeconom.2006.07.012

Authors: Bruno Eklund, Timo Teräsvirta

Institutions: Seðlabanki Íslands, Stockholm School of Economics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2068379188

FWCI: 0.568

Cites: 21

Cited by: 12

Related to: 10