Yi-Ting Chen, "A Unified Approach to Standardized-Residuals-Based
Correlation Tests for GARCH-type Models", Journal of Applied Econometrics,
Vol. 23, No. 1, 2008, pp. 111-133.

The data files are zipped in c-data.zip, and the gauss program files are
zipped in c-prog.zip. (These are all ASCII files in DOS format.) 
The supplementary appendix in the PDF format is zipped in c-app.zip.

********
* DATA *
********

NACD.dat       The daily closed prices of the National Association of
               Securities Dealers Automated Quotations Composite index. 
SP5D.dat       The daily closed prices of the Standard and Poor's 500 index. 

Sampling Period: 1990.01 - 2006.09.
Number of observations:  4224.

*****************
* GAUSS PROGRAM *
*****************

Program.gs     The GAUSS program for computing the correlation and LM test
	       statistics shown in Tables 3 and 4 of the paper.  

**************************
* SUPPLEMENTARY APPENDIX *
**************************

Chen-ppendix.pdf   The supplementary appendix of this paper (11 pages).