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Residual-based diagnostics for conditional heteroscedasticity models

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Cited by:

  1. W. Kwan & W. K. Li & K. W. Ng, 2010. "A Multivariate Threshold Varying Conditional Correlations Model," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 20-38.
  2. Sotirios Bersimis & Stavros Degiannakis & Dimitrios Georgakellos, 2017. "Real-time monitoring of carbon monoxide using value-at-risk measure and control charting," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 89-108, January.
  3. Maghyereh Aktham Issa & Awartani Basel, 2012. "Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations," Review of Middle East Economics and Finance, De Gruyter, vol. 8(1), pages 1-22, August.
  4. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
  5. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
  6. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019. "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper 93048, University Library of Munich, Germany.
  7. Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra, 2016. "Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?," Economic Modelling, Elsevier, vol. 52(PB), pages 551-563.
  8. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  9. Wu, Jianhong & Zhu, Lixing, 2011. "Testing for serial correlation and random effects in a two-way error component regression model," Economic Modelling, Elsevier, vol. 28(6), pages 2377-2386.
  10. Kurita, Takamitsu, 2014. "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, vol. 30(C), pages 72-82.
  11. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  12. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
  13. 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.
  14. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  15. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  16. Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 1(1), pages 20-44, December.
  17. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
  18. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  19. Harvey, Andrew & Thiele, Stephen, 2016. "Testing against changing correlation," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.
  20. 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.
  21. Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, LAR Center Press, vol. 1(1), pages 20-44, December.
  22. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
  23. Miralles-Quiros, Maria del Mar & Miralles-Quiros, Jose Luis & Gonçalves, Luis Miguel, 2017. "Análise do efeito tamanho na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 57(4), August.
  24. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  25. Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  26. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria.
  27. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
  28. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
  29. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  30. Jorge V Pérez-Rodríguez & María Santana-Gallego, 2020. "Modelling tourism receipts and associated risks, using long-range dependence models," Tourism Economics, , vol. 26(1), pages 70-96, February.
  31. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
  32. Dong Li & Shiqing Ling & Rongmao Zhang, 2016. "On a Threshold Double Autoregressive Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 68-80, January.
  33. Yongning Wang & Ruey S. Tsay, 2013. "On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-31, April.
  34. Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, vol. 134(1), pages 95-128, September.
  35. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
  36. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
  37. Andreou, Elena & Werker, Bas J M, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
  38. Tsui, Albert K, 2004. "Diagnostics for conditional heteroscedasticity models: some simulation results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 113-119.
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