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Article: Distribution of the cross-correlations of squared residuals in ARIMA models

TitleDistribution of the cross-correlations of squared residuals in ARIMA models
Authors
Wong, HLi, WK
Keywordsρ-mixing
ARIMA and ARCH models
Cross-correlation function
Portmanteau test
Issue Date1996
PublisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs
Citation
Canadian Journal Of Statistics, 1996, v. 24 n. 4, p. 489-502 How to Cite?
DOI: http://dx.doi.org/10.2307/3315329
AbstractThe distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed.
Persistent Identifierhttp://hdl.handle.net/10722/83010
ISSN
0319-5724
2021 Impact Factor: 0.758
2020 SCImago Journal Rankings: 0.804
ISI Accession Number ID
WOS:A1996WH76100005
References
References in Scopus
Errata
eid_2-s2.0-13244252367

 

DC FieldValueLanguage
dc.contributor.authorWong, Hen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:35:54Z-
dc.date.available2010-09-06T08:35:54Z-
dc.date.issued1996en_HK
dc.identifier.citationCanadian Journal Of Statistics, 1996, v. 24 n. 4, p. 489-502en_HK
dc.identifier.issn0319-5724en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83010-
dc.description.abstractThe distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed.en_HK
dc.languageengen_HK
dc.publisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjsen_HK
dc.relation.ispartofCanadian Journal of Statisticsen_HK
dc.subjectρ-mixingen_HK
dc.subjectARIMA and ARCH modelsen_HK
dc.subjectCross-correlation functionen_HK
dc.subjectPortmanteau testen_HK
dc.titleDistribution of the cross-correlations of squared residuals in ARIMA modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0319-5724&volume=24&issue=4&spage=489&epage=502&date=1996&atitle=Distribution+of+the+cross-correlations+of+squared+residuals+in+ARIMA+modelsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2307/3315329-
dc.identifier.scopuseid_2-s2.0-0030344038en_HK
dc.identifier.hkuros21528en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0030344038&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume24en_HK
dc.identifier.issue4en_HK
dc.identifier.spage489en_HK
dc.identifier.epage502en_HK
dc.identifier.isiWOS:A1996WH76100005-
dc.publisher.placeCanadaen_HK
dc.relation.erratumeid:eid_2-s2.0-13244252367-
dc.identifier.scopusauthoridWong, H=7402864953en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl0319-5724-

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