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A bootstrapped spectral test for adequacy in weak ARMA models · Study

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ArticleA bootstrapped spectral test for adequacy in weak ARMA models

Ke Zhu2015

OA

Articlegreen2015

A bootstrapped spectral test for adequacy in weak ARMA models

Ke Zhu · Wai Keung Li

28 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Time Series Analysis and Forecasting

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References

2006Analysis of Financial Time Series 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS 2019GARCH Models: Structure, Statistical Inference and Financial Applications 1996Forecasting stock market volatility using (non-linear) Garch models 2009An automatic Portmanteau test for serial correlation 2005Generalized spectral tests for the martingale difference hypothesis 1996Consistent Testing for Serial Correlation of Unknown Form

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Year2015

Typearticle

Published2015-02-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2015.02.005

openalex_workW1827437448

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