| Author: | Bera, A.K. Kim, S. |
| Title: | Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns |
| Journal: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 171-195 |
| Index terms: | AUTOCORRELATION REGRESSION ANALYSIS STOCK RETURNS |
| Freeterms: | TIME-VARYING CORRELATIONS |
| Language: | eng |
| Abstract: | The standard practice in modeling asset return dynamics is to assume constant correlation. This paper is concerned with developing a formal test for constancy of correlation, and applying it to financial markets of the USA, Japan, Germany, the UK, France and Italy. |
SCIMA