Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
From MaRDI portal
Publication:4367887
DOI10.1111/1467-9892.00061zbMATH Open0882.62081OpenAlexW2072187584MaRDI QIDQ4367887FDOQ4367887
Recommendations
- scientific article; zbMATH DE number 1222312
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Diagnostic checking of multivariate time series GARCH-type models
Cited in
(41)- On testing for multivariate ARCH effects in vector time series models
- On portmanteau-type tests for nonlinear multivariate time series
- Diagnostic checking of multivariate time series GARCH-type models
- Diagnostic checking for conditional heteroscedasticity models
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- A note on portmanteau tests for conditional heteroscedastistic models
- New mixed portmanteau tests for time series models
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Diagnostic checking of the vector multiplicative error model
- On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
- Testing for identification in SVAR-GARCH models
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- Finite-sample multivariate tests for ARCH in vector autoregressive models
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
- Checks of model adequacy for univariate time series models and their application to econometric relationships
- Improved multivariate portmanteau test
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- Time series models for realized covariance matrices based on the matrix-F distribution
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Mixed Portmanteau Tests for Time‐Series Models
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Diagnostic checking for partially nonstationary multivariate ARMA models
- SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
- Analysis of the correlation structure of square time series
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Residual‐based diagnostics for conditional heteroscedasticity models
- A multivariate threshold varying conditional correlations model
- Diagnostic checking for GARCH-type models
- On testing for causality in variance between two multivariate time series
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- New HSIC-based tests for independence between two stationary multivariate time series
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
This page was built for publication: Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4367887)
