Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ke. Zhu, 2013.
"A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach,"
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More about this item
KeywordsARCH models; squared residuals; cross-correlation tests; score test;
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