Nakatani, Tomoaki; Terasvirta, Timo - In: Econometrics Journal 12 (2009) 1, pp. 147-163
In this paper, we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation generalized autoregressive conditional heteroskedasticity (GARCH) model in which volatility of an asset is described only through...