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A test for constant correlations in a multivariate GARCH model

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  • Tse, Y. K.

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.
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Suggested Citation

  • Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
  • Handle: RePEc:eee:econom:v:98:y:2000:i:1:p:107-127
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