Portmanteau test based on the ARFIMA-GARCH model

DOI10.13548/J.SXZZ.2017.03.003MaRDI QIDQ4640611zbMATH OpenFDO

Authors Haiyan Xuan, Yongxia Shi, Yuchun Zhang, Guangye Xu

Publication date 25 May 2018

zbMATH Keywords

portmanteau testARFIMA-GARCH modelquasi-maximum exponential likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Statistical methods; risk measures (91G70)

Recommendations

• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• A portmanteau test for ARMA processes with infinite variance
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Portmanteau tests for ARMA models with infinite variance
• On multiple portmanteau tests

Cited in

(5)

• Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• A portmanteau test for ARMA processes with infinite variance
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Portmanteau test for the asymmetric power GARCH model when the power is unknown

This page was built for publication: Portmanteau test based on the ARFIMA-GARCH model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4640611)