On testing for multivariate ARCH effects in vector time series models
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asymptotic null distribution simulationsautoregressive conditional heteroscedasticity modelsfrequency domain analysismultivariate time seriesspectral density
Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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Cites work
- A Class of Nonlinear Arch Models
- A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
- A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
- ARCH modeling in finance. A review of the theory and empirical evidence
- ARMA MODELS WITH ARCH ERRORS
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Distribution of Multivariate White Noise Autocorrelations
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3744363 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 1222312 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- On a measure of lack of fit in time series models
- Quadratic ARCH Models
- Residual‐based diagnostics for conditional heteroscedasticity models
- The Multivariate Portmanteau Statistic
Cited in
(16)- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- Purchasing power parity between the UK and Germany: the euro era
- On portmanteau-type tests for nonlinear multivariate time series
- Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
- Improved multivariate portmanteau test
- Finite-sample multivariate tests for ARCH in vector autoregressive models
- Erratum: Authors' corrigenda/corrections des auteurs on testing for multivariate ARCH effects in vector time series models
- scientific article; zbMATH DE number 1975285 (Why is no real title available?)
- Tests for conditional heteroscedasticity of functional data
- On testing for causality in variance between two multivariate time series
- The statistical properties of the innovations in multivariate ARCH processes in high dimensions
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- A rank based method for testing ARCH effect and serial correlation of high-dimensional time series
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