Code for Dufour et al paper
Posted: Fri Nov 02, 2012 8:57 am
Hello RATS user,
Does anyone have the code for the following paper to test the ARCH effects in multivariate form?
“MULTIVARIATE RESIDUAL-BASED FINITE-SAMPLE TESTS FOR SERIAL DEPENDENCE AND ARCH EFFECTS WITH APPLICATIONS TO ASSET PRICING MODELS”, JEAN-MARIE DUFOUR, LYNDA KHALAF AND MARIE-CLAUDE BEAULIEU J. Appl. Econ. 25: 263–285 (2010)
Thanks.
Sincerely
S Rahman
Does anyone have the code for the following paper to test the ARCH effects in multivariate form?
“MULTIVARIATE RESIDUAL-BASED FINITE-SAMPLE TESTS FOR SERIAL DEPENDENCE AND ARCH EFFECTS WITH APPLICATIONS TO ASSET PRICING MODELS”, JEAN-MARIE DUFOUR, LYNDA KHALAF AND MARIE-CLAUDE BEAULIEU J. Appl. Econ. 25: 263–285 (2010)
Thanks.
Sincerely
S Rahman