Testing ARCH effect of high-dimensional time series data
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Cites work
- A Lagrange multiplier test for GARCH models
- A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
- A Powerful Portmanteau Test of Lack of Fit for Time Series
- Analysis of financial time series
- ARMA MODELS WITH ARCH ERRORS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap Tests for High-Dimensional White-Noise
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- GARCH models. Structure, statistical inference and financial applications
- Generalized autoregressive conditional heteroscedasticity
- Generalized portmanteau statistics and tests of randomness
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- scientific article; zbMATH DE number 837685 (Why is no real title available?)
- Jackknife, bootstrap and other resampling methods in regression analysis
- LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Mixed Portmanteau Tests for Time‐Series Models
- Multivariate time series analysis. With R and financial applications
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- One‐sided testing for conditional heteroskedasticity in time series models
- Realistic Statistical Modelling of Financial Data
- Regularized estimation in sparse high-dimensional time series models
- Serial independence tests for innovations of conditional mean and variance models
- Simultaneous analysis of Lasso and Dantzig selector
- Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
- Testing serial correlations in high-dimensional time series via extreme value theory
- Tests of serial dependence for multivariate time series with arbitrary distributions
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
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