Portmanteau test based on the ARFIMA-GARCH model

DOI10.13548/J.SXZZ.2017.03.003zbMATH Open1399.62019MaRDI QIDQ4640611FDOQ4640611

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

Publication date: 25 May 2018

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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)

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

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