Tranquil and crisis windows, heteroscedasticity, and contagion measurement [electronic resource] : M...
Tranquil and crisis windows, heteroscedasticity, and contagion measurement [electronic resource] : MS-VAR application of the DCC procedure / Victor Pontines and Reza Y. Siregar.
About this item
Full title
Author / Creator
Publisher
[Adelaide] : University of Adelaide, School of Economics, 2007.
Date
2007.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
[Adelaide] : University of Adelaide, School of Economics, 2007.
Series
Place of Publication
South Australia
Date Published
2007.
Subjects
More information
Scope and Contents
Summary
The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance Matrix (DCC) procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e., tranquil and crisis periods and the violation of its heteroscedasticity assumption under the null, can be simultaneously addr...
Alternative Titles
Full title
Tranquil and crisis windows, heteroscedasticity, and contagion measurement [electronic resource] : MS-VAR application of the DCC procedure / Victor Pontines and Reza Y. Siregar.
Authors, Artists and Contributors
Author / Creator
Author / Artists
Notes
General note
Research paper / University of Adelaide, School of Economics ; no. 2007-02.
Title from title screen (viewed on Aug. 9, 2011)
"March 2007".
Includes bibliographical references (p. 13-14)
System details note
Mode of access: Internet via World Wide Web. Address as at 09/08/2011: http://www.economics.adelaide.edu.au/research/papers/
System requirements: Adobe Acrobat reader to access the document in PDF.
Contextual Information
Other version (online)
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Primary Identifiers
Record Identifier
74VvKyxK6NVA
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvKyxK6NVA
Other Identifiers
DDC
332.642095
MMS ID
991007952909702626
