Diagnostic checking of the vector multiplicative error model

DOI10.1016/j.csda.2015.07.012zbMath1468.62146OpenAlexW2184760192MaRDI 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 volatilityGARCH modelautoregressive conditional durationmultivariate portmanteau test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Evaluating multiplicative error models: a residual-based approach ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics

Uses Software

• OpenCourseWare

Cites Work

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