Diagnostic checking of the vector multiplicative error model

DOI10.1016/j.csda.2015.07.012zbMath1468.62146MaRDI QIDQ1660140

Y. Aharonov

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2015.07.012

zbMATH Keywords

realized volatility; GARCH model; autoregressive conditional duration; multivariate portmanteau test

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M07: Non-Markovian processes: hypothesis testing

Uses Software

• OpenCourseWare