Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
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Publication:3597968
DOI10.1093/biomet/92.3.691zbMath1152.62370MaRDI 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
asymptotic distribution; GARCH model; diagnostic checking; absolute residual autocorrelation; local least absolute deviation estimator; squared residual autocorrelation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G05: Nonparametric estimation
62J20: Diagnostics, and linear inference and regression
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