Diagnostic Checking for GARCH-Type Models

DOI10.1080/03610926.2011.588366zbMath1347.62037OpenAlexW2081130491MaRDI QIDQ4921650

Farhat Iqbal

Publication date: 13 May 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.588366

zbMATH Keywords

GARCHresidual autocorrelationM-estimatordiagnostic checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Serial independence tests for innovations of conditional mean and variance models

Cites Work

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