Portmanteau tests based on Kendall's autocorrelation coefficients

被引：0
|
作者：
Siman, Miroslav [1 ]
机构：
[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague 18675, Czech Republic
来源：
PROCEEDINGS OF THE 23RD INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2005 | 2005年
关键词：
GARCH; portmanteau tests; rank tests; Kendall's tau; rank autocorrelation;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Portmanteau tests based on serial Kendall's autocorrelation coefficients will be proposed and their usefulness will be judged by a small but representative Monte Carlo study dealing with testing for conditional heteroskedasticity. Besides, acceptable approximations to variances of these coefficients at higher lags will be found.
引用
收藏
页码：370 / 375
页数：6
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