Generalizing Hosking (1980a), the Lagrange-multiplier test procedure is applied to hypotheses concerning multivariate autoregressive moving-average time-series models. The portmanteau and Quenouille ...
The Lagrange Multiplier (LM) test is one of the principal tools to detect ARCH and GARCH effects in financial data analysis. However, when the underlying data are non-normal, which is often the case ...
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