Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
type: Item
instance of: scholarly article
title: Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
zbMATH Open document ID: 1157.62487
author: P. Duchesne
published in: Computational Statistics and Data Analysis
publication date: 2009-04-06T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 42C40
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5540550
zbMATH Keywords: wavelet spectrum estimator
zbMATH Keywords: kernel spectrum estimator
zbMATH Keywords: autoregressive conditional heteroskedasticity
zbMATH Keywords: multivariate time series
MaRDI profile type: Publication
full work available at URL: j.csda.2006.07.022
OpenAlex ID: W2041031076
cites work: Q5631966
cites work: Stochastic Comparison of Tests
cites work: A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Common Persistence in Conditional Variances
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Q3947020
cites work: Nonparametric homogeneity tests
cites work: Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
cites work: Ten Lectures on Wavelets
cites work: On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
cites work: ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
cites work: On testing for multivariate ARCH effects in vector time series models
cites work: On consistent testing for serial correlation of unknown form in vector time series models.
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Q5612941
cites work: Q4896587
cites work: Consistent Testing for Serial Correlation of Unknown Form
cites work: One‐sided testing for conditional heteroskedasticity in time series models
cites work: Q4807275
cites work: The Multivariate Portmanteau Statistic
cites work: Asymptotically exact nonparametric hypothesis testing in sup-norm and at a fixed point
cites work: Q4821817
cites work: Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
cites work: A theory for multiresolution signal decomposition: the wavelet representation
cites work: DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
cites work: Q3135829
cites work: Q4938807
cites work: SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON-GAUSSIAN TIME SERIES
cites work: Automatic Lag Selection in Covariance Matrix Estimation
cites work: Q3323077
cites work: WAVELETS AND TIME-DEPENDENT SPECTRAL ANALYSIS
cites work: Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
cites work: Adaptive hypothesis testing using wavelets
cites work: Adaptive and spatially adaptive testing of a nonparametric hypothesis.
cites work: Q4779802
cites work: Residual‐based diagnostics for conditional heteroscedasticity models
cites work: A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
cites work: Q4256211
cites work: A full-factor multivariate GARCH model
cites work: Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
DOI: 10.1016/J.CSDA.2006.07.022
description: scientific article; zbMATH DE number 5540550