On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations
Year of publication: |
2013
|
---|---|
Authors: | Wang, Yongning ; Tsay, Ruey S. |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 1.2013, 1, p. 1-31
|
Publisher: |
Basel : MDPI |
Subject: | vector autoregressive moving-average process | multivariate GARCH model | asymptotic distribution | portmanteau statistic | model checking | heavy tail | multivariate time series | bootstrap |
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