A residual-based test for multivariate GARCH models using transformed quadratic residuals (Q1984480): Difference between revisions

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-Chang-Chun Tan
@@ Property / author: Chang-Chun Tan / rank @@
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+Chang-Chun Tan
@@ Property / author: Chang-Chun Tan / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.econlet.2021.109978
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+W3177872771
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@@ Property / cites work @@
+On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
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+On testing for multivariate ARCH effects in vector time series models
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+Comparison of specification tests for GARCH models
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+The Multivariate Portmanteau Statistic
@@ Property / cites work: The Multivariate Portmanteau Statistic / rank @@
+Normal rank
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+Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+The asymptotic effect of substituting estimators for parameters in certain types of statistics
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+Residual‐based diagnostics for conditional heteroscedasticity models
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+A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
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