Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
From MaRDI portal
Publication:3597968
DOI10.1093/biomet/92.3.691zbMath1152.62370OpenAlexW2026065939MaRDI QIDQ3597968
Publication date: 29 January 2009
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/92.3.691
asymptotic distributionGARCH modeldiagnostic checkingabsolute residual autocorrelationlocal least absolute deviation estimatorsquared residual autocorrelation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Diagnostics, and linear inference and regression (62J20)
Related Items
On Fréchet autoregressive conditional duration models, On the estimation and diagnostic checking of the ARFIMA-HYGARCH model, The ZD-GARCH model: a new way to study heteroscedasticity, Asymmetric linear double autoregression, Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, A new hyperbolic GARCH model, QUANTILE DOUBLE AUTOREGRESSION, Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models, Diagnostic checking for conditional heteroscedasticity models, Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation, On portmanteau-type tests for nonlinear multivariate time series, Analysing liquidity and absorption limits of electronic markets with volume durations, Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models, A Portmanteau Test for Smooth Transition Autoregressive Models, Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models, LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS, New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing, Diagnostic Checking for GARCH-Type Models, Ian McLeod’s Contribution to Time Series Analysis—A Tribute, A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach