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Distribution of the Cross-Correlations of Squared Residuals in ARIMA Models

H. Wong and W. K. Li
The Canadian Journal of Statistics / La Revue Canadienne de Statistique
Vol. 24, No. 4 (Dec., 1996), pp. 489-502
Stable URL: http://www.jstor.org/stable/3315329
Page Count: 14
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Distribution of the Cross-Correlations of Squared Residuals in ARIMA Models
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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. /// Nous considérons la distribution des corrélations croisées des carrés des résidus obtenus des modèles Box-Jenkins, cela dans des conditions très générales et obtenons la distribution asymptotique. Nous proposons un test pour une relation décalée de la volatilité pour les séries temporelles économiques sous des conditions de causalité instantanée et étudions son comportement empirique. Nous étudions également un exemple impliquant la volatilité des marchés boursiers internationaux est étudié, et observons un résultat intéressant.

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