Combined Lagrange Multiplier Test for ARCH in Vector Autoregressive Models

Paul Catani, Niklas Ahlgren

Research output: Book/ReportCommissioned reportProfessional

Original languageEnglish
Place of PublicationHelsinki
PublisherHanken School of Economics
Number of pages41
ISBN (Electronic)978-952-232-312-5
Publication statusPublished - 2016
MoE publication typeD4 Published development or research report or study

Publication series

NameWorking Papers
PublisherHanken School of Economics
No.563
ISSN (Electronic)2242-7082

Keywords

  • 112 Statistics and probability

Cite this

Catani, P., & Ahlgren, N. (2016). Combined Lagrange Multiplier Test for ARCH in Vector Autoregressive Models. (Working Papers; No. 563). Helsinki: Hanken School of Economics.