Search found 2 matches
- Sun Jan 06, 2019 7:00 am
- Forum: Estimation
- Topic: Inclusion of dummy variables in Multivariate GARCH Model
- Replies: 1
- Views: 3630
Re: Inclusion of dummy variables in Multivariate GARCH Model
Same doubt here... anyone?
- Sat Jan 05, 2019 4:59 am
- Forum: Econometric Discussions
- Topic: Multivariate GARCH-BEKK
- Replies: 1
- Views: 5481
Multivariate GARCH-BEKK
Hello everyone! I am conducting studies with capital market variables and economic activity in some Latin American countries. The study traces the period of the global economic crisis of 2008. I have 10 endogenous variables and 2 exogenous dummy variables (one for the crisis period and another for t...