测试高维时间序列数据的 ARCH 效应

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Communications in Statistics-Simulation and Computation Pub Date : 2024-06-22 DOI:10.1080/03610918.2024.2367001

Xuejiao Li, Shufang Wei, Yaxing Yang

引用次数: 0

摘要

自回归条件异方差（ARCH）效应检验是经济和金融时间序列中的一个重要问题。在本文中，我们考虑对高...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Testing ARCH effect of high-dimensional time series data

Testing for the autoregressive conditional heteroscedasticity (ARCH) effect is an important problem in economic and financial time series. In this article, we consider the ARCH effect test for high...

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来源期刊

Communications in Statistics-Simulation and Computation 数学-统计学与概率论

CiteScore

2.50

自引率

11.10%

发文量

240

审稿时长

6 months

期刊介绍： The Simulation and Computation series intends to publish papers that make theoretical and methodological advances relating to computational aspects of Probability and Statistics. Simulational assessment and comparison of the performance of statistical and probabilistic methods will also be considered for publication. Papers stressing graphical methods, resampling and other computationally intensive methods will be particularly relevant. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.