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Citations for "Diagnostic Checking in ARMA Models With Uncorrelated Errors"

by Francq, Christian & Roy, Roch & Zakoian, Jean-Michel

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  1. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
  2. Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
  3. Boubacar Mainassara, Y. & Carbon, M. & Francq, C., 2012. "Computing and estimating information matrices of weak ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 345-361.
  4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427 Edward Elgar.
  5. Duchesne, Pierre & Lafaye De Micheaux, Pierre, 2010. "Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 858-862, April.
  6. 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.
  7. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland.
  8. Chabot-Hallé, Dominique & Duchesne, Pierre, 2008. "Diagnostic checking of multivariate nonlinear time series models with martingale difference errors," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 997-1005, June.
  9. Miguel A. Delgado & Carlos Velasco, 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," Economics Working Papers we101707, Universidad Carlos III, Departamento de Economía.
  10. Boubacar Mainassara, Yacouba, 2009. "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 18990, University Library of Munich, Germany.
  11. Ahmad, Ali & Francq, Christian, 2014. "Poisson qmle of count time series models," MPRA Paper 59804, University Library of Munich, Germany.
  12. Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
  13. Francq, Christian & Zakoïan, Jean-Michel, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
  14. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Centre de Recherche en Economie et Statistique.
  15. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.
  16. Boubacar Mainassara, Yacouba, 2010. "Selection of weak VARMA models by modified Akaike's information criteria," MPRA Paper 24981, University Library of Munich, Germany.
  17. Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Centre de Recherche en Economie et Statistique.
  18. Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.
  19. Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
  20. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
  21. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  22. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
  23. Duchesne, Pierre & Francq, Christian, 2010. "On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses," MPRA Paper 19740, University Library of Munich, Germany.
  24. Sant'Anna, Pedro H. C., 2013. "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy," MPRA Paper 48376, University Library of Munich, Germany.
  25. Boubacar Mainassara, Yacouba, 2010. "Selection of weak VARMA models by Akaïke's information criteria," MPRA Paper 23412, University Library of Munich, Germany.
  26. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
  27. Jiazhu Pan & Qiwei Yao, 2008. "Modelling multiple time series via common factors," LSE Research Online Documents on Economics 22876, London School of Economics and Political Science, LSE Library.
  28. Hamdi Raïssi, 2010. "Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(2), pages 304-324, August.
  29. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
  30. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
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