A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

Forskningsoutput: Bok/rapport › Beställd rapport

Originalspråk	Engelska

Utgivningsort	Aarhus
Förlag	Aarhus Universitet
Antal sidor	24
Status	Publicerad - 2014
MoE-publikationstyp	D4 Publicerad utvecklings- eller forskningsrapport eller -utredning

Namn	CREATES Research Papers
Förlag	Institut for Økonomi, Aarhus Universitet
Nr.	2014-03

Nyckelord

@book{852be23c4183411d9b34347233b1a0d1,

title = "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model",

keywords = "112 Statistics and probability, 511 Economics, KOTA2014",

author = "Paul Catani and Timo Ter{\"a}svirta and Meiqun Yin",

year = "2014",

language = "English",

series = "CREATES Research Papers",

publisher = "Aarhus Universitet",

number = "2014-03",

address = "Denmark",

}

TY - BOOK

T1 - A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

AU - Catani, Paul

AU - Teräsvirta, Timo

AU - Yin, Meiqun

PY - 2014

Y1 - 2014

KW - 112 Statistics and probability

KW - 511 Economics

KW - KOTA2014

M3 - Commissioned report

T3 - CREATES Research Papers

BT - A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

PB - Aarhus Universitet

CY - Aarhus

ER -