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Title: Portmanteau test for conditional heteroscedasticity, using ranks of squared residuals.
Authors: Wong, H.; Li, W.K.
Abstract: Discusses the portmanteau test for conditional heteroscedascity using ranks of squared residuals. Rank autocorrelation definition; Real data applications; Robustness of the statistics as a diagnostic test.
Subjects: HETEROSCEDASTICITY; AUTOCORRELATION (Statistics); ROBUST statistics; STATISTICS
Publication: Journal of Applied Statistics, 1995, Vol 22, Issue 1, p121
ISSN: 0266-4763
Publication type: Academic Journal
DOI: 10.1080/757584402

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Portmanteau test for conditional heteroscedasticity, using ranks of squared residuals.