Diagnostic checking of multivariate nonlinear time series models with martingale difference errors

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
ARCH models and financial applications
Analysis of Financial Time Series
Asymptotic theory of statistical inference for time series
Diagnostic Checking in ARMA Models With Uncorrelated Errors
Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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Cited in

(13)

A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
On portmanteau-type tests for nonlinear multivariate time series
Diagnostic checking in linear processes with infinite variance
Diagnostic checking of Markov multiplicative error models
Improved multivariate portmanteau test
Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
Diagnostic checking for partially nonstationary multivariate ARMA models
Semi-strong linearity testing in linear models with dependent but uncorrelated errors
On Estimation of the Bivariate Poisson INAR Process
scientific article; zbMATH DE number 926560 (Why is no real title available?)
Diagnostic checking of periodic vector autoregressive time series models with dependent errors
An updated review of goodness-of-fit tests for regression models
Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

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