Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach (Q3597968)
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scientific article; zbMATH DE number 5500460
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| English | Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach |
scientific article; zbMATH DE number 5500460 |
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Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach (English)
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29 January 2009
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absolute residual autocorrelation
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asymptotic distribution
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diagnostic checking
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GARCH model
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local least absolute deviation estimator
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squared residual autocorrelation
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0.8608112931251526
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0.8306324481964111
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0.8239024877548218
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0.8097050189971924
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