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11/29/2019
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
This work considers the problem of modified portmanteau tests for testin...
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10/16/2019
Estimating FARIMA models with uncorrelated but non-independent error terms
In this paper we derive the asymptotic properties of the least squares e...
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02/08/2019
Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but non-independent error terms
In this paper we consider portmanteau tests for testing the adequacy of ...
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12/05/2018
Estimation of multivariate asymmetric power GARCH models
It is now widely accepted that volatility models have to incorporate the...
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11/21/2018
Portmanteau test for the asymmetric power GARCH model when the power is unknown
It is now widely accepted that, to model the dynamics of daily financial...
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01/24/2018
