Erratum: Authors' corrigenda/corrections des auteurs on testing for multivariate ARCH effects in vector time series models
DOI10.1002/CJS.10067zbMATH Open1315.62072OpenAlexW1966206230MaRDI QIDQ3589859FDOQ3589859
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
multivariate time seriesspectral densityfrequency domain analysisautoregressive conditional heteroscedasticity models
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
Cited In (3)
- Corrigendum to: ``On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
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