Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28675
Title: Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
Authors: Wong, H 
Li, WK
Keywords: ARCH models
Cross-correlation tests
Score test
Squared residuals
Issue Date: 2002
Publisher: Kluwer Academic Publ
Source: Annals of the institute of statistical mathematics, 2002, v. 54, no. 1, p. 45-59 How to cite?
Journal: Annals of the Institute of Statistical Mathematics 
Abstract: Two tests for multivariate conditional heteroscedastic models are proposed. One is based on the cross-correlations of standardized squared residuals and the other is a score (Lagrange multiplier) test. The cross-correlations test can be used to detect the presence of multivariate conditional heteroscedasticity whereas the other test can be used for diagnostic checking. Simulation studies on the size and power of the test statistics are reported. The application of the tests is illustrated by an example using the S & P 500 and Sydney All Ordinary Indexes.
URI: http://hdl.handle.net/10397/28675
ISSN: 0020-3157
DOI: 10.1023/A:1016161620735
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