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

DOI10.1002/CJS.10067MaRDI QIDQ3589859zbMATH OpenOpenAlexFDO

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

autoregressive conditional heteroscedasticity modelsfrequency domain analysismultivariate time seriesspectral density

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) 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)

• The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
• 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

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