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Robustness of the Ljung-Box Test and its Rank Equivalent · Study

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PreprintRobustness of the Ljung-Box Test and its Rank Equivalent

Unknown author2003

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Preprintgreen2003

Robustness of the Ljung-Box Test and its Rank Equivalent

Unknown author

55 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Advanced Statistical Methods and Models Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2000Value At Risk: The New Benchmark for Managing Financial Risk 1993A Permanent and Transitory Component Model of Stock Return Volatility 1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles

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2021Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model 2025Evaluating the impacts of earthquake disasters on the building construction sector: a SARIMA-based counterfactual analysis

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations55

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.443560

openalex_workW1587684816

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