Detecting dependence in heavy-tailed time series using Portmanteau-type dependence tests
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Publication:3517615
DOI10.12988/IMF.2006.06037zbMath1142.62061OpenAlexW2387959028MaRDI QIDQ3517615
Publication date: 12 August 2008
Published in: International Mathematical Forum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12988/imf.2006.06037
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07)
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