New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing

By Thomas J. Fisher, Colin M. Gallagher. 2012

421 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/03a8957c4e8020687497779fc43cc43dbdcbbe63

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rangan Gupta
2. Elie Bouri
3. David Gabauer
4. Oğuzhan Çepni
5. David Roubaud
6. Afees A. Salisu
7. Andrew Urquhart
8. O. Adekoya

In Finance

1. Rangan Gupta
2. Elie Bouri
3. David Gabauer
4. David Roubaud
5. Afees A. Salisu
6. Andrew Urquhart
7. Kazeem O. Isah

In Statistics and Probability

1. David Gabauer
2. Rangan Gupta
3. Elie Bouri

Citations in the corpus

• Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020, methodology): “…significance at ***1%, **5%, and *10% significance level; Skewness: D'Agostino (1970) test; kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Stock et al. (1996) unit-root test; Q2(20) and LiMak(20): Fisher and Gallagher (2012) weighted portmanteau test.”
• Return connectedness across asset classes around the COVID-19 outbreak (2020, background): “Notably, we find pronounced autocorrelation in both, the series and the squared series (Fisher and Gallagher, 2012) implying that the mean and the variance of each series vary over time.”