Xuexin Wang

Xiamen University

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Scholarly Papers (1)

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A Joint Portmanteau Test for Conditional Mean and Variance Time‐Series Models

Journal of Time Series Analysis, Vol. 36, Issue 1, pp. 39-60, 2015
Number of pages: 22 Posted: 30 Dec 2014
Carlos Velasco and Xuexin Wang
Universidad Carlos III de Madrid - Department of Economics and Xiamen University
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Abstract:

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Model diagnostic checking, portmanteau statistic, estimation effect, GARCH model specification testing, residual serial correlation