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