新浦京8883n平台下载
WISE
Chow Institute
User Center
Old Version
Chinese
CHINESE
EN
About
About Us
Contact US
People
Faculty Directory
Staff Dirctiory
Program
The Undergraduate Program
The Graduate Program
International Graduate Program
The Part-time Graduate Course Program
Study Aboad Program
Course Catalogue
Research
Publications
Working Papers
News & Events
News
Announcements
Academic Calendar
Seminars
Workshop & Conference
EN
CHINESE
EN
WISE
Chow Institute
User Center
About
About Us
Contact US
People
Faculty Directory
Staff Dirctiory
Program
The Undergraduate Program
The Graduate Program
International Graduate Program
The Part-time Graduate Course Program
Study Aboad Program
Course Catalogue
Research
Publications
Working Papers
News & Events
News
Announcements
Academic Calendar
Seminars
Workshop & Conference
Research
Research
Publications
Working Papers
Research
Publications
Working Papers
Publications
Location:
Home
->
Research
->
Publications
-> Content
Testing the Structure of Conditional Correlations in Multivariate GARCH Models: A Generalized Cross-Spectrum Approach
id: 2141
Date: 20131014
status: published
Times:
Magazines
Author
Nadine McCloud, Yongmiao Hong
Content
We introduce a class of generally applicable specification tests for constant and dynamic structures of conditional correlations in multivariate GARCH models. The tests are robust to the presence of time-varying higher-order conditional moments of unknown form and are pure significance tests. The tests can identify linear and nonlinear misspecifications in conditional correlations. Our approach does not necessitate a particular parameter estimation method and distributional assumption on the error process. The asymptotic distribution of the tests is invariant to the uncertainty in parameter estimation. We assess the finite sample performance of our tests using simulated and real data.
JEL-Codes
C12
Keywords
Constant conditional correlation; Dynamic conditional correlation; Generalized cross-spectrum; Financial Econometrics; Multivariate GARCH model; Specification testing.
TOP