Diagnostic checking of nonlinear multivariate time series with multivariate arch errors

DOI10.1111/1467-9892.00061zbMATH Open0882.62081OpenAlexW2072187584MaRDI QIDQ4367887FDOQ4367887

Authors: Shiqing Ling, Wai Keung Li 

Publication date: 2 December 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00061

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zbMATH Keywords

model checkingportmanteau testsmultivariate ARCH errorssum of squared residual autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
• On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• Testing for identification in SVAR-GARCH models

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