A test for constant correlations in a multivariate GARCH model
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Publication:1584770
DOI10.1016/S0304-4076(99)00080-9zbMath0968.62066OpenAlexW2157496047MaRDI QIDQ1584770
Publication date: 17 September 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00080-9
Monte Carlo experimentinformation matrix testLagrange multiplier testconstant-correlation hypothesismultivariate conditional heteroscedasticity
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