Detecting and diagnostic checking multivariate conditional heteroscedastic time series models

Annals of the Institute of Statistical Mathematics

Volumn 54, Issue 1, 2002, Pages 45-59

  Wong, H ^a   Li, W K ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

ARCH models; Cross correlation tests; Score test; Squared residuals

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS;

HETEROSCEDASTIC MODELS;

STATISTICAL TESTS;

EID: 6444244545     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1016161620735     Document Type: Article

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