Wang, Yongning; Tsay, Ruey S. - In: Econometrics 1 (2013) 1, pp. 1-31
This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...
