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...

Since investors have diverse perspectives and limited information, their expectations can be subjective and prone to inaccuracies. Hence, price fluctuations are influenced by heterogeneous beliefs regarding future expectations, and both surveys and straightforward models can only partially...

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi- maximum likelihood estimator (QMLE) is proved under only the second-order...