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ArticleDiagnostic checking integer-valued ARCH models using conditional residual autocorrelations

Fukang Zhu2009

Article2009

Diagnostic checking integer-valued ARCH models using conditional residual autocorrelations

Fukang Zhu · Dehui Wang

38 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Probability and Statistical Research Time Series Analysis and Forecasting

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References

1978Time Series Analysis: Forecasting and Control.2009Time series analysis forecasting and control 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS 2006Integer‐Valued GARCH Process 1994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY 1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity 2003ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS

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2014Influence diagnostics in log-linear integer-valued GARCH models 2017Monitoring parameter shift with Poisson integer-valued GARCH models

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Year2009

Typearticle

Published2009-09-24

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2009.09.019

openalex_workW2008779124

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