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

✍ Scribed by Anil K. Bera; Sangwhan Kim

Book ID: 117628135
Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 154 KB
Volume: 9
Category: Article
ISSN: 0927-5398
DOI: 10.1016/s0927-5398(01)00050-0

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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t