Department of Economics and Business Economics

Timo Teräsvirta

Testing for volatility interactions in the Constant Conditional Correlation GARCH model

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Testing for volatility interactions in the Constant Conditional Correlation GARCH model. / Nakatani, Tomoaki; Teräsvirta, Timo.

In: Econometrics Journal, Vol. 12, No. 1, 2009, p. 147-163.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Nakatani, Tomoaki ; Teräsvirta, Timo. / Testing for volatility interactions in the Constant Conditional Correlation GARCH model. In: Econometrics Journal. 2009 ; Vol. 12, No. 1. pp. 147-163

Bibtex

@article{f3fd7500ff5511dda987000ea68e967b,
title = "Testing for volatility interactions in the Constant Conditional Correlation GARCH model",
author = "Tomoaki Nakatani and Timo Ter{\"a}svirta",
year = "2009",
doi = "10.1111/j.1368-423X.2008.00261.x",
language = "English",
volume = "12",
pages = "147--163",
journal = "Econometrics Journal",
issn = "1368-4221",
publisher = "Wiley",
number = "1",

}

RIS

TY - JOUR

T1 - Testing for volatility interactions in the Constant Conditional Correlation GARCH model

AU - Nakatani,Tomoaki

AU - Teräsvirta,Timo

PY - 2009

Y1 - 2009

U2 - 10.1111/j.1368-423X.2008.00261.x

DO - 10.1111/j.1368-423X.2008.00261.x

M3 - Journal article

VL - 12

SP - 147

EP - 163

JO - Econometrics Journal

T2 - Econometrics Journal

JF - Econometrics Journal

SN - 1368-4221

IS - 1

ER -