Testing for multivariate autoregressive conditional heteroskedasticity using wavelets

@article{Duchesne2006TestingFM,
  title={Testing for multivariate autoregressive conditional heteroskedasticity using wavelets},
  author={Pierre Duchesne},
  journal={Computational Statistics & Data Analysis},
  year={2006},
  volume={51},
  pages={2142-2163}
}
Test statistics for autoregressive conditional heteroskedasticity (ARCH) in the residuals from a possibly nonlinear and dynamic multivariate regression model are considered. The new approach is based on estimation of the multivariate spectral density of squared and cross-residuals. A simple wavelet-based spectral density estimator is advocated, which is a particularly suitable analytic tool when the spectral density exhibits peaks or kinks that may arise from strong cross-dependence, seasonal… CONTINUE READING