Portmanteau tests for linearity of stationary time series

DOI10.1080/07474938.2016.1261015zbMath1490.62267OpenAlexW2256770477MaRDI QIDQ5860904

Marián Vávra, Zacharias Psaradakis

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.nbs.sk/_img/Documents/PUBLIK/WP_1_2016_Vavra_Psaradakis_Portmanteau_tests.pdf

zbMATH Keywords

nonlinearitystock returnscross-correlationautocorrelationportmanteau test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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