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A powerful portmanteau test of lack of fit for time series

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  1. is not listed on IDEAS
  2. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
  3. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
  4. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Alonso, Andres M. & Maharaj, Elizabeth A., 2006. "Comparison of time series using subsampling," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2589-2599, June.
  7. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
  8. Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
  9. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
  10. Kwun Chuen Gary Chan & Jinhui Han & Adrian Patrick Kennedy & Sheung Chi Phillip Yam, 2022. "Testing network autocorrelation without replicates," PLOS ONE, Public Library of Science, vol. 17(11), pages 1-18, November.
  11. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.
  12. Fahim Afzal & Pan Haiying & Farman Afzal & Asif Mahmood & Amir Ikram, 2021. "Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model," SAGE Open, , vol. 11(1), pages 21582440211, March.
  13. Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
  14. Boubacar Maïnassara, Yacouba & Ursu, Eugen, 2025. "Diagnostic checking of periodic vector autoregressive time series models with dependent errors," Journal of Multivariate Analysis, Elsevier, vol. 205(C).
  15. Ke Zhu, 2016. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
  16. Lin, Jen-Wen & McLeod, A.Ian, 2006. "Improved Pena-Rodriguez portmanteau test," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1731-1738, December.
  17. Heni Boubaker, 2015. "Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 551-574, December.
  18. Rodríguez, Julio & Ruiz Ortega, Esther, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de Estadística.
  19. Christian Gourieroux & Joann Jasiak, 2023. "Generalized Covariance Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1315-1327, October.
  20. 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.
  21. repec:isu:genstf:201001010800002742 is not listed on IDEAS
  22. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
  23. Tucker S. McElroy & Anindya Roy, 2022. "Model identification via total Frobenius norm of multivariate spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 473-495, April.
  24. Jan Gooijer, 2008. "Partial sums of lagged cross-products of AR residuals and a test for white noise," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 567-584, November.
  25. Daniel Peña & Ruey S. Tsay, 2023. "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 667-685, September.
  26. Kokoszka, Piotr & Reimherr, Matthew & Wölfing, Nikolas, 2016. "A randomness test for functional panels," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 37-53.
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