Detecting and diagnostic checking multivariate conditional heteroscedastic time series models

DOI10.1023/A:1016161620735zbMath0991.62037MaRDI QIDQ1610926

R. Smith

Publication date: 20 August 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

score testARCH modelssquared residualscross-correlation tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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