Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models
| Year of publication: |
2002
|
|---|---|
| Authors: | Wong, H. ; Li, W. |
| Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 54.2002, 1, p. 45-59
|
| Publisher: |
Springer |
| Subject: | ARCH models | squared residuals | cross-correlation tests | score test |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005616115