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- Publisher Website: 10.1111/jtsa.12007
- Scopus: eid_2-s2.0-84874190703
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Article: A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
Title | A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach |
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Authors | |
Keywords | LAD estimator ARMA-GARCH model Mixed portmanteau test Model diagnostics Quasi-maximum exponential likelihood estimator |
Issue Date | 2013 |
Citation | Journal of Time Series Analysis, 2013, v. 34, n. 2, p. 230-237 How to Cite? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/230922 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.875 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhu, Ke | - |
dc.date.accessioned | 2016-09-01T06:07:09Z | - |
dc.date.available | 2016-09-01T06:07:09Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Journal of Time Series Analysis, 2013, v. 34, n. 2, p. 230-237 | - |
dc.identifier.issn | 0143-9782 | - |
dc.identifier.uri | http://hdl.handle.net/10722/230922 | - |
dc.description.abstract | This 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.language | eng | - |
dc.relation.ispartof | Journal of Time Series Analysis | - |
dc.subject | LAD estimator | - |
dc.subject | ARMA-GARCH model | - |
dc.subject | Mixed portmanteau test | - |
dc.subject | Model diagnostics | - |
dc.subject | Quasi-maximum exponential likelihood estimator | - |
dc.title | A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/jtsa.12007 | - |
dc.identifier.scopus | eid_2-s2.0-84874190703 | - |
dc.identifier.volume | 34 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 230 | - |
dc.identifier.epage | 237 | - |
dc.identifier.eissn | 1467-9892 | - |
dc.identifier.isi | WOS:000315302800009 | - |
dc.identifier.issnl | 0143-9782 | - |