On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized residuals....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2013-04-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/1/1/1 |