Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

DOI10.1093/biomet/92.3.691zbMath1152.62370OpenAlexW2026065939MaRDI QIDQ3597968

Publication date: 29 January 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/92.3.691

zbMATH Keywords

asymptotic distribution GARCH model diagnostic checking absolute residual autocorrelation local least absolute deviation estimator squared residual autocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Diagnostics, and linear inference and regression (62J20)

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