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

DOI10.1093/BIOMET/92.3.691MaRDI QIDQ3597968zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic distributionGARCH modeldiagnostic checkingabsolute residual autocorrelationlocal least absolute deviation estimatorsquared residual autocorrelation

Mathematics Subject Classification ID

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)

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Cited in

(25)

• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
• 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
• A new hyperbolic GARCH model
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• On Mixture Double Autoregressive Time Series Models
• Diagnostic checking for conditional heteroscedasticity models
• The ZD-GARCH model: a new way to study heteroscedasticity
• Estimating GARCH models: when to use what?
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• A Portmanteau Test for Smooth Transition Autoregressive Models
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

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