Portmanteau test for the asymmetric power GARCH model when the power is unknown
DOI10.1007/s00362-021-01257-wzbMath1490.62230arXiv1811.08769OpenAlexW3189354496MaRDI QIDQ2151687
Bruno Saussereau, O. Kadmiri, Yacouba Boubacar Maïnassara
Publication date: 5 July 2022
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.08769
threshold modelsgoodness-of-fit testvalidationportmanteau testasymmetric power GARCH modelsresiduals autocovariances
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
- Partially linear models with first-order autoregressive symmetric errors
- Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- EGARCH models with fat tails, skewness and leverage
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- Generalized autoregressive conditional heteroscedasticity
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- A Model Specification Test For GARCH(1,1) Processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a measure of lack of fit in time series models
- Asymptotic Statistics
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
- GARCH Models
- The Lindeberg-Levy Theorem for Martingales
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
This page was built for publication: Portmanteau test for the asymmetric power GARCH model when the power is unknown
