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

Paul Catani, Timo Teräsvirta, Meiqun Yin

Research output: Book/Report › Commissioned report

Original language	English

Place of Publication	Aarhus
Publisher	Aarhus Universitet
Number of pages	24
Publication status	Published - 2014
MoE publication type	D4 Published development or research report or study

Name	CREATES Research Papers
Publisher	Institut for Økonomi, Aarhus Universitet
No.	2014-03

Keywords

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AU - Teräsvirta, Timo

AU - Yin, Meiqun

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KW - 511 Economics

KW - KOTA2014

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

PB - Aarhus Universitet

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