A test for constant correlations in a multivariate GARCH model

Journal of Econometrics

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Bibliographic Details
Main Author:	Tse, Y.K.
Other Authors:	ECONOMICS
Format:	Article
Published:	2011
Subjects:	Constant correlation Information matrix test Lagrange multiplier test Monte Carlo experiment Multivariate conditional heteroscedasticity
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/20057
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Institution:	National University of Singapore

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spelling	sg-nus-scholar.10635-200572015-01-12T21:48:55Z A test for constant correlations in a multivariate GARCH model Tse, Y.K. ECONOMICS Constant correlation Information matrix test Lagrange multiplier test Monte Carlo experiment Multivariate conditional heteroscedasticity Journal of Econometrics 98 1 107-127 JECMB 2011-02-24T06:56:08Z 2011-02-24T06:56:08Z 2000 Article Tse, Y.K. (2000). A test for constant correlations in a multivariate GARCH model. Journal of Econometrics 98 (1) : 107-127. ScholarBank@NUS Repository. 03044076 http://scholarbank.nus.edu.sg/handle/10635/20057 NOT_IN_WOS Scopus
institution	National University of Singapore
building	NUS Library
country	Singapore
collection	ScholarBank@NUS
topic	Constant correlation Information matrix test Lagrange multiplier test Monte Carlo experiment Multivariate conditional heteroscedasticity
spellingShingle	Constant correlation Information matrix test Lagrange multiplier test Monte Carlo experiment Multivariate conditional heteroscedasticity Tse, Y.K. A test for constant correlations in a multivariate GARCH model
description	Journal of Econometrics
author2	ECONOMICS
author_facet	ECONOMICS Tse, Y.K.
format	Article
author	Tse, Y.K.
author_sort	Tse, Y.K.
title	A test for constant correlations in a multivariate GARCH model
title_short	A test for constant correlations in a multivariate GARCH model
title_full	A test for constant correlations in a multivariate GARCH model
title_fullStr	A test for constant correlations in a multivariate GARCH model
title_full_unstemmed	A test for constant correlations in a multivariate GARCH model
title_sort	test for constant correlations in a multivariate garch model
publishDate	2011
url	http://scholarbank.nus.edu.sg/handle/10635/20057
_version_	1681079706308313088

A test for constant correlations in a multivariate GARCH model

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