Erratum: Authors' corrigenda/corrections des auteurs on testing for multivariate ARCH effects in vector time series models

DOI10.1002/cjs.10067zbMath1315.62072OpenAlexW1966206230MaRDI QIDQ3589859

Pierre Duchesne, Simon Lalancette

Publication date: 20 September 2010

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.10067

zbMATH Keywords

spectral densityfrequency domain analysismultivariate time seriesautoregressive conditional heteroscedasticity models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (1)

Portmanteau test for a class of multivariate asymmetric power GARCH model

Cites Work

• On testing for multivariate ARCH effects in vector time series models

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