Portmanteau tests for ARMA models with infinite variance
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DOI: 10.1111/j.1467-9892.2007.00572.x
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Citations
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Cited by:
- Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
- Lee, Sangyeol & Tim Ng, Chi, 2010. "Trimmed portmanteau test for linear processes with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 984-998, April.
- Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
- Fries, Sébastien & Zakoian, Jean-Michel, 2019.
"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
- Mutele, Litshedzani & Carranza, Emmanuel John M., 2024. "Statistical analysis of gold production in South Africa using ARIMA, VAR and ARNN modelling techniques: Extrapolating future gold production, Resources–Reserves depletion, and Implication on South Afr," Resources Policy, Elsevier, vol. 93(C).
- Rongning Wu, 2013. "M-estimation for general ARMA Processes with Infinite Variance," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 571-591, September.
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
- Christian Gouriéroux & Jean-Michel Zakoïan, 2017.
"Local explosion modelling by non-causal process,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 737-756, June.
- Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.
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