scientific article; zbMATH DE number 2199143

zbMATH Open1070.62097MaRDI QIDQ5312871FDOQ5312871

Authors: Julio Rodríguez, Esther Ruiz 

Publication date: 25 August 2005

Title of this publication is not available (Why is that?)

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zbMATH Keywords

GARCHlong-memorystochastic volatilityAutocorrelations of nonlinear transformationsMcLeod-Li statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Conditionally heteroscedastic unobserved component models and their reduced form
• Improved multivariate portmanteau test
• Tests for conditional heteroscedasticity of functional data
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• A quasi-locally most powerful test for correlation in the conditional variance of positive data
• A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
• A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
• New mixed portmanteau tests for time series models
• A new conditionally heteroscedastic model for asset returns time series
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations

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