Diagnostic checking of the vector multiplicative error model
DOI10.1016/J.CSDA.2015.07.012zbMATH Open1468.62146OpenAlexW2184760192MaRDI QIDQ1660140FDOQ1660140
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
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)
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Cited In (4)
- Evaluating multiplicative error models: a residual-based approach
- Diagnostic checking of Markov multiplicative error models
- 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
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