A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
In this paper we consider several tests for model misspecification after a multivariate conditional heteroscedasticity model has been fitted. We examine the performance of the recent test due to Ling and Li (J. Time Ser. Anal. 18 (1997), 447–64), the Box–Pierce test and the residual-based F test usi...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/148 |
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| Institution: | Singapore Management University |
| Language: | English |