A test for constant correlations in a multivariate GARCH model
Journal of Econometrics
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2011
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sg-nus-scholar.10635-200572024-11-12T07:38:51Z 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 |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NUS Library |
| 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_ |
1821192843552620544 |