A zero serial cross-correlation test before fitting heteroscedasticity

DOI10.1111/JTSA.12807MaRDI QIDQ6854958zbMATH OpenFDO

Authors Yaolan Ma, Xiaohong Chen, Liang Peng, Rong-Mao Zhang

Publication date 23 February 2026

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

Full work available at URL https://doi.org/10.1111/JTSA.12807

zbMATH Keywords

ARMA modelcross-sectional and serial dependenceheavy tailsinnovation-based copula time series modelrandom weighted bootstraptest

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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