Testing serial correlation and ARCH effect of high-dimensional time-series data
Shiqing Ling, Ruey S. Tsay, Yaxing Yang
| Year of publication: |
2021
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| Authors: | Ling, Shiqing ; Tsay, Ruey S. ; Yang, Yaxing |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 1, p. 136-147
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| Subject: | ARCH effect | High-dimensional time series | Ljung–Box test | Rank correlation | Rank test | Serial correlation | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Autokorrelation | Autocorrelation | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1647844 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424504