Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
type: Item
instance of: scholarly article
title: Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
zbMATH Open document ID: 0991.62037
DOI: 10.1023/A:1016161620735
author: R. Smith
published in: Annals of the Institute of Statistical Mathematics
publication date: 2002-08-20T00:00:00Z
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1784559
zbMATH Keywords: ARCH models
zbMATH Keywords: squared residuals
zbMATH Keywords: cross-correlation tests
zbMATH Keywords: score test
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1784559