A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

DOI10.1111/1467-9892.00166MaRDI QIDQ4956037zbMATH OpenOpenAlexFDO

Authors

Publication date 24 May 2000

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00166

zbMATH Keywords

Box-Pierce statisticsdiagnostic testsGARCH modelLing-Li statistics

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(18)

• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Estimating multivariate ARCH parameters by two-stage least-squares method
• On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• Emerging markets in the global economic network: real(ly) decoupling?
• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Diagnostic checking of multivariate time series GARCH-type models
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• On a multivariate conditional heteroscedastic model
• Residual‐based diagnostics for conditional heteroscedasticity models
• On testing for multivariate ARCH effects in vector time series models
• POSTERIOR ANALYSIS OF THE MULTIPLICATIVE HETEROSCEDASTICITY MODEL
• Tests for conditional heteroscedasticity of functional data
• On testing for causality in variance between two multivariate time series
• Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• Portmanteau test for a class of multivariate asymmetric power GARCH model
• Diagnostic checking for conditional heteroscedasticity models
• Testing ARCH effect of high-dimensional time series data

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