مرکز منطقه ای اطلاع رساني علوم و فناوري - Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns

Title of article :

Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns

Author/Authors :

Anil K. Bera، نويسنده , , Sangwhan Kim، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2002

Pages :

From page :

171

To page :

195

Keywords :

Time-varying correlations , Score test , stock returns , Studentizing , Information matrix test

Journal title :

Journal of Empirical Finance

Serial Year :

2002

Journal title :

Journal of Empirical Finance

Record number :

130710

Link To Document :