File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach

TitleA mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
Authors
Zhu, Ke
KeywordsLAD estimator
ARMA-GARCH model
Mixed portmanteau test
Model diagnostics
Quasi-maximum exponential likelihood estimator
Issue Date2013
Citation
Journal of Time Series Analysis, 2013, v. 34, n. 2, p. 230-237 How to Cite?
DOI: http://dx.doi.org/10.1111/jtsa.12007
AbstractThis paper investigates the joint limiting distribution of the residual autocorrelation functions and the absolute residual autocorrelation functions of ARMA-GARCH models. This leads a mixed portmanteau test for diagnostic checking of the ARMA-GARCH model fitted by using the quasi-maximum exponential likelihood estimation approach in Zhu and Ling (2011). Simulation studies are carried out to examine our asymptotic theory, and assess the performance of this mixed test and other two portmanteau tests in Li and Li (2008). A real example is given. © 2012 Wiley Publishing Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/230922
ISSN
0143-9782
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.875
ISI Accession Number ID
WOS:000315302800009

 

DC FieldValueLanguage
dc.contributor.authorZhu, Ke-
dc.date.accessioned2016-09-01T06:07:09Z-
dc.date.available2016-09-01T06:07:09Z-
dc.date.issued2013-
dc.identifier.citationJournal of Time Series Analysis, 2013, v. 34, n. 2, p. 230-237-
dc.identifier.issn0143-9782-
dc.identifier.urihttp://hdl.handle.net/10722/230922-
dc.description.abstractThis paper investigates the joint limiting distribution of the residual autocorrelation functions and the absolute residual autocorrelation functions of ARMA-GARCH models. This leads a mixed portmanteau test for diagnostic checking of the ARMA-GARCH model fitted by using the quasi-maximum exponential likelihood estimation approach in Zhu and Ling (2011). Simulation studies are carried out to examine our asymptotic theory, and assess the performance of this mixed test and other two portmanteau tests in Li and Li (2008). A real example is given. © 2012 Wiley Publishing Ltd.-
dc.languageeng-
dc.relation.ispartofJournal of Time Series Analysis-
dc.subjectLAD estimator-
dc.subjectARMA-GARCH model-
dc.subjectMixed portmanteau test-
dc.subjectModel diagnostics-
dc.subjectQuasi-maximum exponential likelihood estimator-
dc.titleA mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/jtsa.12007-
dc.identifier.scopuseid_2-s2.0-84874190703-
dc.identifier.volume34-
dc.identifier.issue2-
dc.identifier.spage230-
dc.identifier.epage237-
dc.identifier.eissn1467-9892-
dc.identifier.isiWOS:000315302800009-
dc.identifier.issnl0143-9782-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats