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Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models

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  • H. Wong
  • W. Li
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    Abstract

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    File URL: http://hdl.handle.net/10.1023/A:1016161620735
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 54 (2002)
    Issue (Month): 1 (March)
    Pages: 45-59

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    Handle: RePEc:spr:aistmt:v:54:y:2002:i:1:p:45-59

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: ARCH models; squared residuals; cross-correlation tests; score test;

    References

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    1. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    2. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    3. Conlisk, John, 1974. "Stability in a Random Coefficient Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(2), pages 529-33, June.
    4. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
    5. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
    6. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
    7. Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
    8. Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu, 1992. "Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 133-42, April.
    9. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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    Cited by:
    1. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
    2. Ke. Zhu, 2013. "A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 230-237, 03.
    3. Duchesne, Pierre, 2004. "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 149-160, June.
    4. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
    5. Ip, W.C. & Wong, Heung & Pan, J.Z. & Li, D.F., 2006. "The asymptotic convexity of the negative likelihood function of GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 311-331, January.

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