A residual-based test for multivariate GARCH models using transformed quadratic residuals
type: Item
instance of: scholarly article
title: A residual-based test for multivariate GARCH models using transformed quadratic residuals
zbMATH Open document ID: 1473.62309
author: Rui Ke
author: Jing Jia
author: Changchun Tan
published in: Economics Letters
publication date: 2021-09-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
zbMATH DE Number: 7396109
zbMATH Keywords: multivariate GARCH model
zbMATH Keywords: model checking
zbMATH Keywords: residual-based statistic
zbMATH Keywords: transformed quadratic residuals
MaRDI profile type: Publication
full work available at URL: j.econlet.2021.109978
OpenAlex ID: W3177872771
cites work: On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
cites work: On testing for multivariate ARCH effects in vector time series models
cites work: Comparison of specification tests for GARCH models
cites work: The Multivariate Portmanteau Statistic
cites work: Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
cites work: Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
cites work: The asymptotic effect of substituting estimators for parameters in certain types of statistics
cites work: Residual‐based diagnostics for conditional heteroscedasticity models
cites work: A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
DOI: 10.1016/J.ECONLET.2021.109978
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description: scientific article; zbMATH DE number 7396109