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Search: subject:"Ljung-Box statistics"
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Lagrange Multiplier test
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Ljung-Box statistics
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Multivariate GARCH models
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residual-based diagnostics
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Minovic, Jelena
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Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market
Minovic, Jelena
- In:
Economic Analysis
41
(
2008
),
pp. 73-87
we used the
Ljung-Box
statistics
(Q-test) of standardized residuals, those of its squared, as well as of the cross …
Persistent link: https://www.econbiz.de/10010742005
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