Testing for volatility interactions in the Constant Conditional Correlation GARCH model
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Publication:3566443
DOI10.1111/j.1368-423X.2008.00261.xzbMath1190.62160MaRDI QIDQ3566443
Tomoaki Nakatani, Timo Teräsvirta
Publication date: 8 June 2010
Published in: Econometrics Journal (Search for Journal in Brave)
Monte Carlo simulation; Lagrange multiplier test; multivariate GARCH; conditional correlations; volatility interactions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
62M07: Non-Markovian processes: hypothesis testing
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Uses Software
Cites Work
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