A residual-based test for multivariate GARCH models using transformed quadratic residuals
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DOI: 10.1016/j.econlet.2021.109978
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Cited by:
- Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for a class of multivariate asymmetric power GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 964-1002, November.
- Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.
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Keywords
Multivariate GARCH model; Model checking; Residual-based statistic; Transformed quadratic residuals;All these keywords.
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