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| Tekijä: | Tse, Y. K. |
| Otsikko: | A test for constant correlations in a multivariate GARCH model |
| Lehti: | Journal of Econometrics
2000 : SEP, VOL. 98:1, p. 107-127 |
| Asiasana: | Econometric models Monte Carlo technique Financial information systems Matrix management |
| Kieli: | eng |
| Tiivistelmä: | The author introduces a Lagrrange Multiplier test for the constant-collelation hypothesis in a multivariate GARCH model. The test examines the restrictions imposed on a model which encompasses the constant-correlation multivariate GARCH model. It is applied to three data sets, namely, spot-futures prices, foreign exchange rates and stock market returns. The results show that the spot-futures and foreign exchange data have constant correlations, while the correlations across national stock market returns are time varying. |
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