A test for constant correlations in a multivariate GARCH model

Y. K. Tse ()

Journal of Econometrics, 2000, vol. 98, issue 1, 107-127

Date: 2000
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Citations: View citations in EconPapers (229)

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Software Item: TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model
Software Item: RATS programs to replicate Tse's constant correlation GARCH test results
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