Department of Economics and Business Economics

A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model

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A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model. / Catani, Paul; Terasvirta, Timo; Yin, Meiqun.

In: Econometric Reviews, Vol. 36, No. 6-9, 2017, p. 599-621.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

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Catani, Paul ; Terasvirta, Timo ; Yin, Meiqun. / A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model. In: Econometric Reviews. 2017 ; Vol. 36, No. 6-9. pp. 599-621

Bibtex

@article{d5e99667ab04415fae82eeebffac9b6c,
title = "A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model",
author = "Paul Catani and Timo Terasvirta and Meiqun Yin",
year = "2017",
doi = "10.1080/07474938.2017.1307311",
language = "English",
volume = "36",
pages = "599--621",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "TAYLOR & FRANCIS INC",
number = "6-9",

}

RIS

TY - JOUR

T1 - A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model

AU - Catani,Paul

AU - Terasvirta,Timo

AU - Yin,Meiqun

PY - 2017

Y1 - 2017

U2 - 10.1080/07474938.2017.1307311

DO - 10.1080/07474938.2017.1307311

M3 - Journal article

VL - 36

SP - 599

EP - 621

JO - Econometric Reviews

T2 - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 6-9

ER -