A test for constant correlations in a multivariate GARCH model

DOI10.1016/S0304-4076(99)00080-9MaRDI QIDQ1584770zbMATH OpenOpenAlexFDO

Authors R. Smith

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

zbMATH Keywords

information matrix testMonte Carlo experimentLagrange multiplier testconstant-correlation hypothesismultivariate conditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Misspecification tests and their uses in econometrics
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

Cited in

(28)

• Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
• Continuous Time Wishart Process for Stochastic Risk
• Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
• Influence diagnostics for multivariate GARCH processes
• Robust parametric tests of constant conditional correlation in a MGARCH model
• New weighted portmanteau statistics for time series goodness of fit testing
• Diagnostics for conditional heteroscedasticity models: some simulation results.
• Asymptotic theory for a vector ARMA-GARCH model
• Modeling conditional correlations of asset returns: a smooth transition approach
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• Testing constancy of the error covariance matrix in vector models
• The impact of general non-parametric volatility functions in multivariate GARCH models
• Univariate and multivariate value-at-risk: application and implication in energy markets
• A Bayesian non-stationary heteroskedastic time series model for multivariate critical care data
• A quasi-locally most powerful test for correlation in the conditional variance of positive data
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• World natural gas markets: characteristics, basic properties and linkages of natural gas prices
• A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market
• Residual‐based diagnostics for conditional heteroscedasticity models
• Digital currencies: a multivariate GARCH approach
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Testing constancy of conditional variance in high dimension
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
• Multivariate models of equity returns for investment guarantees valuation

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