Portmanteau test for a class of multivariate asymmetric power GARCH model - Archive ouverte HAL
Article Dans Une Revue Journal of Time Series Analysis Année : 2022

Portmanteau test for a class of multivariate asymmetric power GARCH model

Résumé

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.
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Dates et versions

hal-04551911 , version 1 (18-04-2024)

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Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau. Portmanteau test for a class of multivariate asymmetric power GARCH model. Journal of Time Series Analysis, 2022, 43 (6), pp.964-1002. ⟨10.1111/jtsa.12646⟩. ⟨hal-04551911⟩
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