2022-08-24Zeitschriftenartikel
A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina; Teräsvirta, Timo; Wade, Glen
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations ...
