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Article: Distribution of the cross-correlations of squared residuals in ARIMA models
Title | Distribution of the cross-correlations of squared residuals in ARIMA models |
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Authors | |
Keywords | ρ-mixing ARIMA and ARCH models Cross-correlation function Portmanteau test |
Issue Date | 1996 |
Publisher | Statistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs |
Citation | Canadian Journal Of Statistics, 1996, v. 24 n. 4, p. 489-502 How to Cite? |
Abstract | The distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed. |
Persistent Identifier | http://hdl.handle.net/10722/83010 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.508 |
ISI Accession Number ID | |
References | |
Errata |
DC Field | Value | Language |
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dc.contributor.author | Wong, H | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:35:54Z | - |
dc.date.available | 2010-09-06T08:35:54Z | - |
dc.date.issued | 1996 | en_HK |
dc.identifier.citation | Canadian Journal Of Statistics, 1996, v. 24 n. 4, p. 489-502 | en_HK |
dc.identifier.issn | 0319-5724 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/83010 | - |
dc.description.abstract | The distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Statistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs | en_HK |
dc.relation.ispartof | Canadian Journal of Statistics | en_HK |
dc.subject | ρ-mixing | en_HK |
dc.subject | ARIMA and ARCH models | en_HK |
dc.subject | Cross-correlation function | en_HK |
dc.subject | Portmanteau test | en_HK |
dc.title | Distribution of the cross-correlations of squared residuals in ARIMA models | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0319-5724&volume=24&issue=4&spage=489&epage=502&date=1996&atitle=Distribution+of+the+cross-correlations+of+squared+residuals+in+ARIMA+models | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.2307/3315329 | - |
dc.identifier.scopus | eid_2-s2.0-0030344038 | en_HK |
dc.identifier.hkuros | 21528 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0030344038&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 24 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 489 | en_HK |
dc.identifier.epage | 502 | en_HK |
dc.identifier.isi | WOS:A1996WH76100005 | - |
dc.publisher.place | Canada | en_HK |
dc.relation.erratum | eid:eid_2-s2.0-13244252367 | - |
dc.identifier.scopusauthorid | Wong, H=7402864953 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0319-5724 | - |