Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models
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References listed on IDEAS
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- 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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- 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, March.
- Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.
- 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.
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More about this item
KeywordsARCH models; squared residuals; cross-correlation tests; score test;
StatisticsAccess and download statistics
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