Automatic Portmanteau tests with applications to market risk management
Zaichao Du (Southwestern University of Finance and Economics, China), Juan Carlos Escanciano (Indiana University, Bloomington, USA), Guangwei Zhu (Southwestern University of Finance and Economics, China)
| Year of publication: |
March 7, 2017
|
|---|---|
| Authors: | Du, Zaichao ; Escanciano, Juan Carlos ; Zhu, Guangwei |
| Publisher: |
[Bloomington, IN] : CAEPR, Center for Applied Economics and Policy Research |
| Subject: | Autocorrelation | consistency | power | Akaike’s AIC | Schwarz’s BIC | Market Risk | Theorie | Theory | Risikomanagement | Risk management | Marktrisiko | Market risk | Statistischer Test | Statistical test | Autokorrelation |
freely available
| Extent: | 1 Online-Ressource (circa 15 Seiten) |
|---|---|
| Series: | CAEPR working papers. - Bloomington, Ind., ZDB-ID 2407655-7. - Vol. #2017-002 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011688357