On testing for multivariate ARCH effects in vector time series models

DOI10.2307/3316087zbMath1056.62097OpenAlexW2034133493MaRDI QIDQ4470644

Simon Lalancette, Pierre Duchesne

Publication date: 15 June 2004

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3316087

zbMATH Keywords

spectral densityfrequency domain analysismultivariate time seriesautoregressive conditional heteroscedasticity modelsasymptotic null distribution simulations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Improved multivariate portmanteau test ⋮ Purchasing power parity between the UK and Germany: the euro era ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Tests for conditional heteroscedasticity of functional data ⋮ A residual-based test for multivariate GARCH models using transformed quadratic residuals ⋮ On matricial measures of dependence in vector ARCH models with applications to diagnostic checking ⋮ Erratum: Authors' corrigenda/corrections des auteurs on testing for multivariate ARCH effects in vector time series models ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On testing for causality in variance between two multivariate time series ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

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