Robust parametric tests of constant conditional correlation in a MGARCH model
DOI10.1080/07474938.2015.1122120zbMATH Open1491.62127OpenAlexW1589065926MaRDI QIDQ5862487FDOQ5862487
Authors: Wasel Shadat, Chris D. Orme 
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://www.escholar.manchester.ac.uk/uk-ac-man-scw:264022
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- scientific article; zbMATH DE number 549221
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
- Analytical quasi maximum likelihood inference in multivariate volatility models
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Asymptotic theory for a vector ARMA-GARCH model
- GARCH processes: structure and estimation
- Evaluating GARCH models.
- Asymptotic Expansions of the Information Matrix Test Statistic
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Small sample properties of alternative forms of the Lagrange multiplier test
- Title not available (Why is that?)
- Multivariate GARCH Models
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- A test for constant correlations in a multivariate GARCH model
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
Cited In (4)
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- A test for constant correlations in a multivariate GARCH model
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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