Media type: E-Book Title: A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model Contributor: Kang, Jian [Author]; Jakobsen, Johan Stax [Author]; Silvennoinen, Annastiina [Author]; Teräsvirta, Timo [Author]; Wade, Glen [Author] Published: Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, 2022 Published in: Aarhus Universitet: CREATES research paper ; 2022,1 Extent: 1 Online-Ressource (circa 68 Seiten); Illustrationen Language: English Keywords: Deterministically varying correlation ; multiplicative time-varying GARCH ; multivariate GARCH ; nonstationary volatility ; smooth transition GARCH ; Graue Literatur Origination: Footnote: Access State: Open Access