Joint Portmanteau Test for Conditional Mean and Variance Time Series Models
Conference Contributions
Overview
event
-
3rd Humboldt–Copenhagen Conference on Financial Econometrics
14 - 16 March 2013, Berlin, Germany
event place
- Berlín
country
- ALEMANIA
participation category
- CONFERENCIA
web site
publication date
- 2013
Classification
keywords
- model diagnostic checking; portmanteau statistic; estimation effect; garch model specification testing; residual serial correlation