A test for constant correlations in a multivariate GARCH model

Journal of Econometrics

Volumn 98, Issue 1, 2000, Pages 107-127

  Tse, Y K ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Constant correlation; Information matrix test; Lagrange multiplier test; Monte Carlo experiment; Multivariate conditional heteroscedasticity

Indexed keywords

EID: 0001238883     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00080-9     Document Type: Article

References (21)

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