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Keywords:

  • Autoregressive conditional heteroscedasticity models;
  • frequency domain analysis;
  • multivariate time series;
  • spectral density;
  • MSC 2000: Primary 62M10;
  • secondary 62M15

In Duchesne & Lalancette (2003), some results on testing for ARCH effects in a multivariate stochastic process {Yt, t ∈ ℤ} of dimension d were given. We correct some typographical errors here. In formula (11), in the definition of the pseudo-test-statistic, when defining the fourth-order cumulants and in the asymptotic result on page 283, the quantity d should have been equation image, namely

  • equation image

Note that the simulation experiments and the application used the correct definitions of the test statistics.

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