A Test for Constant Correlations in a Multivariate Garch Model
We introduce a Lagrange Multiplier (LM) test for the constant-correlation hypothesis in a multivariate GARCH model. The test examines the restrictions imposed on a model which encompasses the constant-correlation multivariate GARCH model. It requires the estimates of the constant-correlation model o...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2000
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/273 |
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| Institution: | Singapore Management University |
| Language: | English |
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