Residual‐based diagnostics for conditional heteroscedasticity models

DOI10.1111/1368-423X.T01-1-00088zbMath1018.62053OpenAlexW2061046774MaRDI QIDQ4416013

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Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00088

zbMATH Keywords

tablesLagrange multiplier testportmanteau statisticresidual-based diagnostic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Diagnostics, and linear inference and regression (62J20)

Related Items (22)

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Cites Work

• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• A test for constant correlations in a multivariate GARCH model
• Generalized autoregressive conditional heteroscedasticity
• Specification test for a linear regression model with ARCH process
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Dynamic Econometrics

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