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Sangwhan Kim

Korea Institute of Finance

4-1 Myung-dong 1-ga

Seoul 100-021

Korea

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Scholarly Papers (1)

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Testing Constancy of Correlation and Other Specifications of the Bgarch Model with an Application to International Equity Returns

UIUC Economics Working Paper No.00-124
Posted: 01 May 2001
Anil K. Bera and Sangwhan Kim
University of Illinois at Urbana-Champaign - Department of Economics and Korea Institute of Finance

Abstract:

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Time-varying correlations, stock returns, score test, information matrix test, studentizing