Testing for multivariate autoregressive conditional heteroskedasticity using wavelets

DOI10.1016/j.csda.2006.07.022zbMath1157.62487OpenAlexW2041031076MaRDI QIDQ1010560

Pierre Duchesne

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.022

zbMATH Keywords

multivariate time seriesautoregressive conditional heteroskedasticitykernel spectrum estimatorwavelet spectrum estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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