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- Publisher Website: 10.1016/j.jeconom.2015.03.025
- Scopus: eid_2-s2.0-84945463814
- WOS: WOS:000364613600007
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Article: Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Title | Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations |
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Authors | |
Keywords | Model diagnostics Sign-based portmanteau test LAD estimator ARCH-type model Heavy-tailed innovation |
Issue Date | 2015 |
Citation | Journal of Econometrics, 2015, v. 189, n. 2, p. 313-320 How to Cite? |
Abstract | © 2015 Elsevier B.V.This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test. |
Persistent Identifier | http://hdl.handle.net/10722/231008 |
ISSN | 2023 Impact Factor: 9.9 2023 SCImago Journal Rankings: 9.161 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, Min | - |
dc.contributor.author | Zhu, Ke | - |
dc.date.accessioned | 2016-09-01T06:07:22Z | - |
dc.date.available | 2016-09-01T06:07:22Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Journal of Econometrics, 2015, v. 189, n. 2, p. 313-320 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231008 | - |
dc.description.abstract | © 2015 Elsevier B.V.This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.subject | Model diagnostics | - |
dc.subject | Sign-based portmanteau test | - |
dc.subject | LAD estimator | - |
dc.subject | ARCH-type model | - |
dc.subject | Heavy-tailed innovation | - |
dc.title | Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jeconom.2015.03.025 | - |
dc.identifier.scopus | eid_2-s2.0-84945463814 | - |
dc.identifier.volume | 189 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 313 | - |
dc.identifier.epage | 320 | - |
dc.identifier.eissn | 1872-6895 | - |
dc.identifier.isi | WOS:000364613600007 | - |
dc.identifier.issnl | 0304-4076 | - |