Portmanteau goodness-of-fit test for asymmetric power GARCH models
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References listed on IDEAS
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- 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; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-ECM-2011-01-03 (Econometrics)
- NEP-ETS-2011-01-03 (Econometric Time Series)
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