Add to ORKGThe ARMA-GARCH model has been commonly used in economics and finance. The portmanteau test based on residual autocorrelations is one of the most frequently used tools for checking the adequacy of the fitted model. In this thesis, we study a mixed portmanteau statistic based on the joint limiting distribution of the residuals and squared residuals. It is shown that this statistic is approximately equal to the sum of well-known statistics under some specific cases. The performance of the new test and two well-known tests are compared in the finite sample through simulations
We consider tests for lack of fit in ARMA models with nonindependent innovations. In this framework,...
We consider tests for lack of fit in ARMA models with non independent innovations. In this framework...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This paper obtains the joint limiting distribution of residuals and squared residuals of a general t...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This thesis aims at investigating different forms of residuals from a general time series model with...
The aim of this thesis is to derive the limiting distributions of the residual and the squared resid...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic chec...
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model...
The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wi...
Autoregressive and moving-average (ARMA) models with stable Paretian errors are some of the most stu...
The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wi...
We consider tests for lack of fit in ARMA models with nonindependent innovations. In this framework,...
We consider tests for lack of fit in ARMA models with non independent innovations. In this framework...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This paper obtains the joint limiting distribution of residuals and squared residuals of a general t...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This paper investigates the joint limiting distribution of the residual autocorrelation functions an...
This thesis aims at investigating different forms of residuals from a general time series model with...
The aim of this thesis is to derive the limiting distributions of the residual and the squared resid...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...
The portmanteau statistic based on the first m residual autocorrelations is used for diagnostic chec...
The large-sample distribution of the multivariate residual autocorrelations in the vector ARMA model...
The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wi...
Autoregressive and moving-average (ARMA) models with stable Paretian errors are some of the most stu...
The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wi...
We consider tests for lack of fit in ARMA models with nonindependent innovations. In this framework,...
We consider tests for lack of fit in ARMA models with non independent innovations. In this framework...
Abstract. The portmanteau statistic based on the first m residual autocorrelations is used for diagn...