Testing against changing correlation

Author:

Harvey Andrew,Thiele Stephen

Funder

Keynes Fund

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. Matrix Algebra;Abadir,2005

2. Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns;Bera;J. Empir. Financ.,2002

3. Specification test for a linear regression model with ARCH process;Bera;J. Stat. Plan. Infer.,1996

4. Modeling the coherence in short run nominal exchange rates: a multivariate generalized ARCH model;Bollerslev;Rev. Econ. Stat.,1990

5. Testing for parameter instability across competing modeling frameworks;Calvori,2014

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