A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
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Publication:2852494
DOI10.1111/jtsa.12007zbMath1274.62149OpenAlexW1495416314MaRDI QIDQ2852494
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Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12007
model diagnosticsARMA-GARCH modelLAD estimatorquasi-maximum exponential likelihood estimatormixed portmanteau test
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)
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