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
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|---|---|
| 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