Diagnostic checking of nonlinear multivariate time series with multivariate arch errors (Q4367887)
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scientific article; zbMATH DE number 1093208
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| English | Diagnostic checking of nonlinear multivariate time series with multivariate arch errors |
scientific article; zbMATH DE number 1093208 |
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Diagnostic checking of nonlinear multivariate time series with multivariate arch errors (English)
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2 December 1997
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model checking
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sum of squared residual autocorrelations
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multivariate ARCH errors
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portmanteau tests
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0.8867385983467102
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0.8552987575531006
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0.8535177707672119
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