Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
DOI10.1093/BIOMET/92.3.691zbMATH Open1152.62370OpenAlexW2026065939MaRDI QIDQ3597968FDOQ3597968
Authors: Guodong Li, Wai Keung Li 
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
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asymptotic distributionGARCH modeldiagnostic checkingabsolute residual autocorrelationlocal least absolute deviation estimatorsquared residual autocorrelation
Nonparametric estimation (62G05) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cited In (25)
- Analysing liquidity and absorption limits of electronic markets with volume durations
- Asymmetric linear double autoregression
- On portmanteau-type tests for nonlinear multivariate time series
- QUANTILE DOUBLE AUTOREGRESSION
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- New weighted portmanteau statistics for time series goodness of fit testing
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Diagnostic checking for GARCH-type models
- Bootstrap inference for GARCH models by the least absolute deviation estimation
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Slope influence diagnostics in conditional heteroscedastic time series models
- On Fréchet autoregressive conditional duration models
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- On Mixture Double Autoregressive Time Series Models
- A new hyperbolic GARCH model
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- Diagnostic checking for conditional heteroscedasticity models
- Estimating GARCH models: when to use what?
- The ZD-GARCH model: a new way to study heteroscedasticity
- A Portmanteau Test for Smooth Transition Autoregressive Models
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
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