A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

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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書目詳細資料
Main Authors:	TSE, Yiu Kuen, Tsui, Albert K.C.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1999
主題:	Economics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/148
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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