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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

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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