Robust parametric tests of constant conditional correlation in a MGARCH model

DOI10.1080/07474938.2015.1122120zbMath1491.62127OpenAlexW1589065926MaRDI QIDQ5862487

Wasel Shadat, Chris D. Orme

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.escholar.manchester.ac.uk/uk-ac-man-scw:264022

zbMATH Keywords

robustnessMonte Carlomultivariate GARCHconditional moment testsconstant conditional correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Unnamed Item
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• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• Multivariate GARCH Models
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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