Diagnostics for conditional heteroscedasticity models: some simulation results.

DOI10.1016/S0378-4754(03)00125-3zbMath1117.91419MaRDI QIDQ1418612

Albert K. Tsui

Publication date: 14 January 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

SimulationGARCH modelsResidual-based diagnostics

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Metalearning of time series: an approximate dynamic programming approach ⋮ New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing ⋮ Diagnostic Checking for GARCH-Type Models

Cites Work

• The asymptotic effect of substituting estimators for parameters in certain types of statistics
• A test for constant correlations in a multivariate GARCH model
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Residual‐based diagnostics for conditional heteroscedasticity models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Unnamed Item

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