This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...

In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged squared innovations and volatility of its own. The...

Bivariate VAR models are Monte Carlo simulated and OLS estimated, The resulting biases are used to compare two alternative approximations to the bias. They are found to be equivalent for first-order models, whereas for second-order models Nicholls and Pope's approximation outperforms Tjostheim...

It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...

This paper investigates the properties of the Damodaran (Journal of Finance, 1993) estimator of price adjustment. It is concluded that strong bias and low precision of the Damodaran estimator renders it useless for empirical work, even when the available sample size is very large. As an...