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Distribution of the cross‐correlations of squared residuals in ARIMA models
Author(s) -
Wong H.,
Li W. K.
Publication year - 1996
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315329
Subject(s) - econometrics , autoregressive integrated moving average , mathematics , volatility (finance) , statistics , economics , time series
ABSTRACT The distribution of the cross‐correlations of squared residuals from Box‐Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed.