On matricial measures of dependence in vector ARCH models with applications to diagnostic checking

DOI10.1016/J.SPL.2004.02.006MaRDI QIDQ1770073zbMATH OpenOpenAlexFDO

Authors P. Duchesne

Publication date 7 April 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.02.006

zbMATH Keywords

ARCH modelsAutocovariance matricesDiagnostic checkingMultivariate time series

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Generalized autoregressive conditional heteroscedasticity
• Handbook of econometrics. Vol. 4
• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1350311 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• On testing for multivariate ARCH effects in vector time series models
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Residual‐based diagnostics for conditional heteroscedasticity models
• The Multivariate Portmanteau Statistic

Cited in

(11)

• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• scientific article; zbMATH DE number 1222312 (Why is no real title available?)
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• On testing for causality in variance between two multivariate time series
• Portmanteau test for a class of multivariate asymmetric power GARCH model
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• Corrigendum to: ``On matricial measures of dependence in vector ARCH models with applications to diagnostic checking

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