Testing for volatility interactions in the Constant Conditional Correlation GARCH model
| Year of publication: |
2009
|
|---|---|
| Authors: | Nakatani, Tomoaki ; Teräsvirta, Timo |
| Published in: |
The econometrics journal. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1368-4221, ZDB-ID 14122650. - Vol. 12.2009, 1, p. 147-163
|