A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
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Publication:2937712
DOI10.1111/jtsa.12091zbMath1311.62156OpenAlexW1515396033MaRDI QIDQ2937712
Publication date: 12 January 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/20096
portmanteau statisticmodel diagnostic checkingestimation effectresidual serial correlationGARCH model specification testing
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Diagnostics, and linear inference and regression (62J20)
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Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms, Extremal Dependence-Based Specification Testing of Time Series, Generalized Covariance Estimator
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