统计与管理学院2015年学术报告第39期
【主 题】 Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
【报告人】 陈敏 研究员
中国科学院
【时 间】 2015年9月16日（星期三）16:00－17:00
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】 This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type 10 models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A real empirical example for exchange rates is given to illustrate the practical usefulness of the test.
