Diagnostic Checking for GARCH-Type Models

DOI10.1080/03610926.2011.588366zbMath1347.62037MaRDI QIDQ4921650

Farhat Iqbal

Publication date: 13 May 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.588366

zbMATH Keywords

GARCH; residual autocorrelation; M-estimator; diagnostic checking

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F05: Asymptotic properties of parametric tests

Related Items

Serial independence tests for innovations of conditional mean and variance models

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