A test for constant correlations in a multivariate GARCH model
Journal of Econometrics
Saved in:
Main Author: | Tse, Y.K. |
---|---|
Other Authors: | ECONOMICS |
Format: | Article |
Published: |
2011
|
Subjects: | |
Online Access: | http://scholarbank.nus.edu.sg/handle/10635/20057 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | National University of Singapore |
Similar Items
-
Residual-Based Diagnostics for Conditional Heteroscedasticity Models
by: TSE, Yiu Kuen
Published: (2002) -
Tests of Functional Form and Heteroscedasticity
by: YANG, Zhenlin, et al.
Published: (2003) -
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations
by: TSE, Yiu Kuen, et al.
Published: (2002) -
Testing for conditional heteroscedasticity: Some Monte Carlo results
by: Tse, Y.K., et al.
Published: (2011) -
Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach
by: Ho, K.Y., et al.
Published: (2016)