A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

DOI10.1080/07474938.2017.1307311OpenAlexW2597589316MaRDI QIDQ5864639

Timo Teräsvirta, Paul Catani, Meiqun Yin

Publication date: 8 June 2022

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

Full work available at URL: https://pure.au.dk/ws/files/141710269/Catani2017_Lagrange_Multiplier_test_AM.pdf

zbMATH Keywords

LM testmodeling volatilitymultivariate GARCHmisspecification testingconstant conditional correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (max. 100)

Tests for serial correlation in mean and variance of a sequence of time series objects ⋮ Tests for conditional heteroscedasticity of functional data ⋮ Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change

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