Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322)
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scientific article; zbMATH DE number 6502479
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| English | Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations |
scientific article; zbMATH DE number 6502479 |
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Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (English)
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30 October 2015
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ARCH-type model
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heavy-tailed innovation
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LAD estimator
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model diagnostics
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sign-based portmanteau test
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0.7889958620071411
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0.7883314490318298
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0.7878921627998352
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0.7833361625671387
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0.7801493406295776
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