Detecting and diagnostic checking multivariate conditional heteroscedastic time series models

DOI10.1023/A:1016161620735MaRDI QIDQ1610926zbMATH OpenFDO

Authors R. Smith, Heung Wong, Wai Keung Li

Publication date 20 August 2002

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1016161620735

zbMATH Keywords

ARCH modelscross-correlation testsscore testsquared residuals

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Diagnostics for conditional heteroscedasticity models: some simulation results.
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
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• Detecting departures from meta-ellipticity for multivariate stationary time series
• On portmanteau-type tests for nonlinear multivariate time series
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Joint and marginal specification tests for conditional mean and variance models
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• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
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• Residual‐based diagnostics for conditional heteroscedasticity models
• On testing for multivariate ARCH effects in vector time series models
• Slope influence diagnostics in conditional heteroscedastic time series models
• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• On testing for causality in variance between two multivariate time series
• Mixed Portmanteau Tests for Time‐Series Models
• Portmanteau test for a class of multivariate asymmetric power GARCH model
• Diagnostic checking for conditional heteroscedasticity models
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• BRC-GARCH-X model: the empirical evidence in stock returns
• Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
• The asymptotic convexity of the negative likelihood function of GARCH models

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