Zhu, Ke (2012): A mixed portmanteau test for ARMAGARCH model by the quasimaximum exponential likelihood estimation approach.

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Abstract
This paper investigates the joint limiting distribution of the residual autocorrelation functions and the absolute residual autocorrelation functions of ARMAGARCH model. This leads a mixed portmanteau test for diagnostic checking of the ARMAGARCH model fitted by using the quasimaximum exponential likelihood estimation approach in Zhu and Ling (2011). Simulation studies are carried out to examine our asymptotic theory, and assess the performance of this mixed test and other two portmanteau tests in Li and Li (2008). A real example is given.
Item Type:  MPRA Paper 

Original Title:  A mixed portmanteau test for ARMAGARCH model by the quasimaximum exponential likelihood estimation approach 
Language:  English 
Keywords:  ARMAGARCH model; LAD estimator; mixed portmanteau test; model diagnostics; quasimaximum exponential likelihood estimator 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection 
Item ID:  40382 
Depositing User:  Ke Zhu 
Date Deposited:  31. Jul 2012 14:17 
Last Modified:  12. Sep 2015 14:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/40382 