A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models

• المؤلفون الرئيسيون: TSE, Yiu Kuen, Tsui, Albert K.C.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1999
• الموضوعات: Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/148
• المؤسسة: Singapore Management University

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...