Erratum: Authors' corrigenda/corrections des auteurs on testing for multivariate ARCH effects in vector time series models

DOI10.1002/CJS.10067MaRDI QIDQ3589859zbMATHOpenAlexFDO

Authors P. Duchesne, Simon Lalancette

Publication date 20 September 2010

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.10067

zbMATH Keywords

multivariate time seriesspectral densityfrequency domain analysisautoregressive conditional heteroscedasticity models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

• On testing for multivariate ARCH effects in vector time series models

Cited in

(3)

• Portmanteau test for a class of multivariate asymmetric power GARCH model
• Corrigendum to: ``On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach

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