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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
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?
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
2015 Impact Factor: 1.0
2015 SCImago Journal Rankings: 1.177

 

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-

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