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Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

Authors:	Li Guodong; Li Wai Keung

Institution:	Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong ligd{at}hkusua.hku.hk, hrntlwk{at}hku.hk

Abstract:

Keywords:	Absolute residual autocorrelation Asymptotic distribution Diagnostic checking GARCH model Local least absolute deviation estimator Squared residual autocorrelation
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