RATS programs to replicate Tse's constant correlation GARCH test results

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This contains an example program and data file for implementing Tse's LM test for constant correlation in a multivariate GARCH model. The program replicates the results from the article: Tse, Y.K.(2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics, 98, pp. 107-127.

Language: RATS
Requires: RATS 7.10
Keywords: CC; GARCH; model (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/tsejoe2000.zip (application/zip)

Related works:
Journal Article: A test for constant correlations in a multivariate GARCH model (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00161

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