This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply...

The paper considers the double-autoregressive model "y"_"t" &equals; "φ""y"_{"t" - 1}&plus;"&epsiv;"_"t" with "&epsiv;"_"t" &equals;<formula format="inline"><file name="rssb_432_mu1.gif" type="gif" /></formula>. Consistency and asymptotic normality of the estimated parameters are proved under the condition "E" ln |"φ" &plus;√"&agr;""η"_{"t"</ sub>|0, which includes the cases with |"φ"|&equals;1 or |"φ"|1 as well...<//>}

This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA-GARCH are summarized. Various...

This paper develops a general asymptotic theory for the estimation of strictly stationary and ergodic time series models. Under simple conditions that are straightforward to check, we establish the strong consistency, the rate of strong convergence and the asymptotic normality of a general class...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

How to undertake statistical inference for infinite variance autoregressive models has been a long-standing open problem. To solve this problem, we propose a self-weighted least absolute deviation estimator and show that this estimator is asymptotically normal if the density of errors and its...