A test for constant correlations in a multivariate GARCH model
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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References listed on IDEAS
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- Tse, Y. K. & Tsui, Albert K. C., 1997. "Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 345-356, July.
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- Kroner, Kenneth F. & Claessens, Stijn, 1991. "Optimal dynamic hedging portfolios and the currency composition of external debt," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 131-148, March.
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