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Article: Diagnostic checking of the vector multiplicative error model

TitleDiagnostic checking of the vector multiplicative error model
Authors
NG, FCLi, WKYu, PLH
KeywordsAutoregressive conditional duration
GARCH model
Multivariate portmanteau test
Realized volatility
Issue Date2016
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda
Citation
Computational Statistics & Data Analysis, 2016, v. 94, p. 86-97 How to Cite?
DOI: http://dx.doi.org/10.1016/j.csda.2015.07.012
Persistent Identifierhttp://hdl.handle.net/10722/231324
ISSN
0167-9473
2023 Impact Factor: 1.5
2023 SCImago Journal Rankings: 1.008
ISI Accession Number ID
WOS:000364798200007

 

DC FieldValueLanguage
dc.contributor.authorNG, FC-
dc.contributor.authorLi, WK-
dc.contributor.authorYu, PLH-
dc.date.accessioned2016-09-20T05:22:19Z-
dc.date.available2016-09-20T05:22:19Z-
dc.date.issued2016-
dc.identifier.citationComputational Statistics & Data Analysis, 2016, v. 94, p. 86-97-
dc.identifier.issn0167-9473-
dc.identifier.urihttp://hdl.handle.net/10722/231324-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda-
dc.relation.ispartofComputational Statistics & Data Analysis-
dc.rightsPosting accepted manuscript (postprint): © <year>. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/-
dc.subjectAutoregressive conditional duration-
dc.subjectGARCH model-
dc.subjectMultivariate portmanteau test-
dc.subjectRealized volatility-
dc.titleDiagnostic checking of the vector multiplicative error model-
dc.typeArticle-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.emailYu, PLH: plhyu@hku.hk-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.authorityYu, PLH=rp00835-
dc.identifier.doi10.1016/j.csda.2015.07.012-
dc.identifier.scopuseid_2-s2.0-84940421569-
dc.identifier.hkuros264524-
dc.identifier.volume94-
dc.identifier.issue2-
dc.identifier.spage86-
dc.identifier.epage97-
dc.identifier.isiWOS:000364798200007-
dc.publisher.placeNetherlands-
dc.identifier.issnl0167-9473-

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