The use of aggregate time series for testing conditional heteroscedasticity

DOI10.1080/02331888.2022.2134386OpenAlexW4306166975MaRDI QIDQ5058308

Wai Sum Chan, Paulo Teles

Publication date: 20 December 2022

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2022.2134386

zbMATH Keywords

temporal aggregationLagrange multiplier testportmanteau testconditional heteroscedasticitypower loss

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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