Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - School of Economics and Management, University of Aarhus - 2014
A Lagrange multiplier test for testing the parametric structure of a constant conditional correlation generalized autoregressive conditional heteroskedasticity (CCC-GARCH) model is proposed. The test is based on decomposing the CCC-GARCH model multiplicatively into two components, one of which...