Testing for volatility interactions in the Constant Conditional Correlation GARCH model

Econometrics Journal

Volumn 12, Issue 1, 2009, Pages 147-163

  Nakatani, Tomoaki ^a,b   Teräsvirta, Timo ^b,c  

^a HOKKAIDO UNIVERSITY   (Japan)

^b STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^c AARHUS UNIVERSITY   (Denmark)

Author keywords

Conditional correlations; Lagrange multiplier test; Monte Carlo simulation; Multivariate GARCH; Volatility interactions

Indexed keywords

EID: 70449499292     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00261.x     Document Type: Article

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