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A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach

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  • Ke. Zhu

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  • Ke. Zhu, 2013. "A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 230-237, March.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:2:p:230-237
    DOI: jtsa.12007
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    Cited by:

    1. Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B., 2022. "Robust Tests For White Noise And Cross-Correlation," Econometric Theory, Cambridge University Press, vol. 38(5), pages 913-941, October.
    2. De Gooijer, Jan G., 2023. "On portmanteau-type tests for nonlinear multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    3. Kilani Ghoudi & Bruno Rémillard, 2018. "Serial independence tests for innovations of conditional mean and variance models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 3-26, March.
    4. Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.

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