Search found 3 matches

by philphed
Sun Jun 19, 2011 3:10 am
Forum: Econometric Discussions
Topic: Testing for correlations
Replies: 1
Views: 3480

Testing for correlations

Hello everyone. I am trying to find a model to analyze correlations. What I want to do is to analyze the increase in correlation between two (and more ) country stock indices before and after a certain event. I looked at past papers and many use Jenrich's correlation matrix stability/equality test o...
by philphed
Wed Jun 08, 2011 2:06 am
Forum: Econometric Discussions
Topic: Bivariate EGARCH-M (1,1) Problems
Replies: 1
Views: 2870

Re: Bivariate EGARCH-M (1,1) Problems

Hello again, after spending some more time on the problem and understanding a little bit more about Eviews, I got the model done. However now most of the coefficients from my conditional mean equation are not significantly different from zero..And I don't know where the problem is. I will outline ve...
by philphed
Tue May 31, 2011 5:59 am
Forum: Econometric Discussions
Topic: Bivariate EGARCH-M (1,1) Problems
Replies: 1
Views: 2870

Bivariate EGARCH-M (1,1) Problems

Hello everybody,

I am fairly new to Eviews/Econometrics so I hope I do not bore you.
I am writing my msc dissertation on correlation of stock indices and I am working with a model from an already published paper (attachment).

I am really hoping that someone could help me.

Thank you!

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