Residual-Based Diagnostics for Conditional Heteroscedasticity Models
We examine the residual–based diagnostics for univariate and multivariate conditional heteroscedasticity models. The tests are based on the parameter estimates of an autoregression with the squared standardized residuals or the cross products of the standardized residuals as dependent variables. As...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2002
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/498 https://ink.library.smu.edu.sg/context/soe_research/article/1497/viewcontent/Tse_Residualbaseddiagnosticsconditional_2002_pv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |