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

DOI10.1016/j.spl.2004.02.006zbMath1058.62071OpenAlexW2087188569MaRDI QIDQ1770073

Pierre 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 modelsMultivariate time seriesAutocovariance matricesDiagnostic checking

Mathematics Subject Classification ID

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

Related Items (5)

Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ Diagnostic checking of multivariate nonlinear time series models with martingale difference errors ⋮ A residual-based test for multivariate GARCH models using transformed quadratic residuals ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On testing for causality in variance between two multivariate time series

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
• Generalized autoregressive conditional heteroscedasticity
• The Multivariate Portmanteau Statistic
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Residual‐based diagnostics for conditional heteroscedasticity models
• On testing for multivariate ARCH effects in vector time series models
• A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
• Handbook of econometrics. Vol. 4
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