A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach (Q2852494): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/jtsa.12007
+Normal rank
@@ Property / OpenAlex ID @@
+W1495416314
@@ Property / OpenAlex ID: W1495416314 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3703094
@@ Property / cites work: Q3703094 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Nonlinear time series. Nonparametric and parametric methods
+Normal rank
@@ Property / cites work @@
+Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
+Normal rank
@@ Property / cites work @@
+Diagnostic Checking in ARMA Models With Uncorrelated Errors
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
+Normal rank
@@ Property / cites work @@
+Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
+Normal rank
@@ Property / cites work @@
+Score based goodness-of-fit tests for time series
@@ Property / cites work: Score based goodness-of-fit tests for time series / rank @@
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4194329
@@ Property / cites work: Q4194329 / rank @@
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
+Normal rank
@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
+Normal rank
@@ Property / cites work @@
+TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
+Normal rank
@@ Property / cites work @@
+Mixed Portmanteau Tests for Time‐Series Models
@@ Property / cites work: Mixed Portmanteau Tests for Time‐Series Models / rank @@
+Normal rank
@@ Property / cites work @@
+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank