A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
From MaRDI portal
Publication:4956037
DOI10.1111/1467-9892.00166zbMath0940.62082OpenAlexW2139551648MaRDI QIDQ4956037
No author found.
Publication date: 24 May 2000
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00166
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20)
Related Items (13)
Diagnostic checking for conditional heteroscedasticity models ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ Tests for conditional heteroscedasticity of functional data ⋮ A residual-based test for multivariate GARCH models using transformed quadratic residuals ⋮ Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models ⋮ On matricial measures of dependence in vector ARCH models with applications to diagnostic checking ⋮ Emerging markets in the global economic network: real(ly) decoupling? ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On testing for causality in variance between two multivariate time series ⋮ Modelling Multivariate Volatilities via Conditionally Uncorrelated Components ⋮ Estimating multivariate ARCH parameters by two-stage least-squares method ⋮ On testing for multivariate ARCH effects in vector time series models ⋮ A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
This page was built for publication: A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
