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Article: A Note On Diagnostic Checking Of The Double Autoregressive Model

TitleA Note On Diagnostic Checking Of The Double Autoregressive Model
Authors
Issue Date2009
PublisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/00949655.asp
Citation
Journal of Statistical Computation and Simulation, 2009, v. 79, p. 705-715 How to Cite?
AbstractThe double autoregressive model finds its use in the modelling of conditional heteroscedasticity of time series data. In view of its growing popularity, the goodness-of-fit of the model is examined. The asymptotic distributions of the residual and squared residual autocorrelations are derived. Two test statistics are then constructed which can be used to measure the adequacy of the conditional mean and conditional variance components of a fitted model. Our goodness-of-fit tests out-perform other benchmark tests such as the Ljung-Box test in simulation studies. To illustrate the testing procedure, the model is fitted to the weekly log-return series of the Hang Seng Index.
Persistent Identifierhttp://hdl.handle.net/10722/59859
ISSN
2015 Impact Factor: 0.749
2015 SCImago Journal Rankings: 0.662
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorKwok, SSMen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-05-31T03:58:55Z-
dc.date.available2010-05-31T03:58:55Z-
dc.date.issued2009en_HK
dc.identifier.citationJournal of Statistical Computation and Simulation, 2009, v. 79, p. 705-715en_HK
dc.identifier.issn0094-9655en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59859-
dc.description.abstractThe double autoregressive model finds its use in the modelling of conditional heteroscedasticity of time series data. In view of its growing popularity, the goodness-of-fit of the model is examined. The asymptotic distributions of the residual and squared residual autocorrelations are derived. Two test statistics are then constructed which can be used to measure the adequacy of the conditional mean and conditional variance components of a fitted model. Our goodness-of-fit tests out-perform other benchmark tests such as the Ljung-Box test in simulation studies. To illustrate the testing procedure, the model is fitted to the weekly log-return series of the Hang Seng Index.-
dc.languageengen_HK
dc.publisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/00949655.aspen_HK
dc.relation.ispartofJournal of Statistical Computation and Simulationen_HK
dc.titleA Note On Diagnostic Checking Of The Double Autoregressive Modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0094-9655&volume=79&spage=705&epage=715&date=2009&atitle=A+Note+On+Diagnostic+Checking+Of+The+Double+Autoregressive+Modelen_HK
dc.identifier.emailKwok, SSM: h0150920@hkusua.hku.hken_HK
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.doi10.1080/00949650801903309-
dc.identifier.scopuseid_2-s2.0-84911972476-
dc.identifier.hkuros155396en_HK
dc.identifier.isiWOS:000265453400006-

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