Automatic portmanteau tests with applications to market risk management

Zhu, GW; Du, ZC; Escanciano, JC

Zhu, GW (reprint author), Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Sichuan, Peoples R China.

STATA JOURNAL, 2017; 17 (4): 901

Abstract

In this article, we review some recent advances in testing for serial correlation, provide code for implementation, and illustrate this code's applica......

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