We are sincerely grateful to the editor (Frank Schorfheide) and three anonymous referees for their invaluable critiques that helped to craft this article. Also, we thank Wolfgang Härdle, Tae-hwy Lee, Anton Schick, and seminar participants at the 2008 Xiamen University-Humboldt University Joint Workshop on Economics and Finance, 2008 Far Eastern and South Asian Meeting of the Econometric Society, and the Statistics Seminar Series in Department of Mathematical Sciences at State University of New York at Binghamton for their comments and suggestions. Hong thanks the National Science Foundation of China for its support via the Overseas Outstanding Youth Grant. McCloud thanks the Department of Economics and Graduate Student Organization at the State University of New York at Binghamton and the Department of Economics and the Dean of the Faculty of Social Sciences at the University of the West Indies at Mona, and Wang Yanan Institute for Studies in Economics at Xiamen University for travel support. All errors are our own. Please address correspondence to: Yongmiao Hong, Department of Economics, Cornell University, Ithaca, NY 14853. Phone: 607 255 5130; Fax: 607-255-2818; E-mail: email@example.com.
TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS-SPECTRUM APPROACH*
Version of Record online: 23 NOV 2011
© (2011) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association
International Economic Review
Volume 52, Issue 4, pages 991–1037, November 2011
How to Cite
McCloud, N. and Hong, Y. (2011), TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS-SPECTRUM APPROACH. International Economic Review, 52: 991–1037. doi: 10.1111/j.1468-2354.2011.00657.x
Manuscript received October 2008; revised January 2010.
- Issue online: 23 NOV 2011
- Version of Record online: 23 NOV 2011
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