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

Paul Catani, Timo Teräsvirta, Meiqun Yin

Research output: Book/ReportCommissioned report

Original languageEnglish
Place of PublicationAarhus
PublisherAarhus Universitet
Number of pages24
Publication statusPublished - 2014
MoE publication typeD4 Published development or research report or study

Publication series

NameCREATES Research Papers
PublisherInstitut for Økonomi, Aarhus Universitet


  • 112 Statistics and probability
  • 511 Economics
  • KOTA2014

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