Portmanteau test for a class of multivariate asymmetric power GARCH model
Statistics Theory
2024-04-22 v1 Statistics Theory
Abstract
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.
Keywords
Cite
@article{arxiv.2404.12685,
title = {Portmanteau test for a class of multivariate asymmetric power GARCH model},
author = {Yacouba Boubacar Maïnassara and Othman Kadmiri and Bruno Saussereau},
journal= {arXiv preprint arXiv:2404.12685},
year = {2024}
}