{"title":"测试高维时间序列数据的 ARCH 效应","authors":"Xuejiao Li, Shufang Wei, Yaxing Yang","doi":"10.1080/03610918.2024.2367001","DOIUrl":null,"url":null,"abstract":"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...","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Testing ARCH effect of high-dimensional time series data\",\"authors\":\"Xuejiao Li, Shufang Wei, Yaxing Yang\",\"doi\":\"10.1080/03610918.2024.2367001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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...\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610918.2024.2367001\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610918.2024.2367001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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