On testing for multivariate ARCH effects in vector time series models

DOI10.2307/3316087zbMath1056.62097OpenAlexW2034133493MaRDI QIDQ4470644

Simon Lalancette, Pierre Duchesne

Publication date: 15 June 2004

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

Full work available at URL: https://doi.org/10.2307/3316087

zbMATH Keywords

spectral densityfrequency domain analysismultivariate time seriesautoregressive conditional heteroscedasticity modelsasymptotic null distribution simulations

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)

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