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

absolute residual autocorrelationasymptotic distributiondiagnostic checkingGARCH modellocal least absolute deviation estimatorsquared residual autocorrelation

Mathematics Subject Classification ID

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

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Cited in

(27)

• The ZD-GARCH model: a new way to study heteroscedasticity
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• On portmanteau-type tests for nonlinear multivariate time series
• On Fréchet autoregressive conditional duration models
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Estimating GARCH models: when to use what?
• Analysing liquidity and absorption limits of electronic markets with volume durations
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
• Slope influence diagnostics in conditional heteroscedastic time series models
• New weighted portmanteau statistics for time series goodness of fit testing
• Diagnostic checking for GARCH-type models
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• Asymmetric linear double autoregression
• QUANTILE DOUBLE AUTOREGRESSION
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• A Portmanteau Test for Smooth Transition Autoregressive Models
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
• Diagnostic checking for conditional heteroscedasticity models
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• On Mixture Double Autoregressive Time Series Models
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Robust tests for changing volatility
• Conditional quantile estimation for GARCH model based on mixed-frequency data
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• A new hyperbolic GARCH model

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