Wild bootstrap Ljung–Box test for cross correlations of multivariate time series
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DOI: 10.1016/j.econlet.2016.08.015
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More about this item
Keywords
CCC-GARCH; Cross correlation; Ljung–Box test; Multivariate time series; VAR; Wild bootstrap;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
Statistics
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