Diagnostics for conditional heteroscedasticity models: some simulation results.

DOI10.1016/S0378-4754(03)00125-3MaRDI QIDQ1418612zbMATH OpenFDO

Authors Albert K. Tsui

Publication date 14 January 2004

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL http://scholarbank.nus.edu.sg/handle/10635/19943

zbMATH Keywords

GARCH modelsResidual-based diagnosticsSimulation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Residual‐based diagnostics for conditional heteroscedasticity models
• scientific article; zbMATH DE number 1222312
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Diagnostic checking for conditional heteroscedasticity models
• Detecting and diagnostic checking multivariate conditional heteroscedastic time series models

Cites work

• A test for constant correlations in a multivariate GARCH model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• scientific article; zbMATH DE number 1944302 (Why is no real title available?)
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Residual‐based diagnostics for conditional heteroscedasticity models
• The asymptotic effect of substituting estimators for parameters in certain types of statistics

Cited in

(7)

• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Testing for conditional heteroscedasticity: some monte carlo results
• Residual‐based diagnostics for conditional heteroscedasticity models
• New weighted portmanteau statistics for time series goodness of fit testing
• Diagnostic checking for GARCH-type models
• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
• Metalearning of time series: an approximate dynamic programming approach

This page was built for publication: Diagnostics for conditional heteroscedasticity models: some simulation results.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1418612)