讲座简介：

This paper proposes a sign-based portmanteau test for diagnostic checking of ARCH-type models estimated by the least absolute deviation approach. Under the strict stationarity condition, the asymptotic distribution is obtained. The new test is applicable for very heavy-tailed innovations with only finite fractional moments. Simulations are undertaken to assess the performance of the sign-based test, as well as a comparison with other two portmanteau tests. A realempirical example for exchange rates is given to illustrate the practical usefulness of the test.

主讲人简介：

现任中国科学院数学与系统科学研究院研究员，全国统计应用技术标准化委员会主任，中国数学会副理事长，中国统计教育学会副会长，《数理统计与管理》主编，《应用数学学报》副主编。曾任中国科学院数学与系统科学研究院副院长。在国内外核心期刊《journal of Econometrics》、《Statistica Sinica》、《Scan. Journal of Statistics》、《Science in China》、《系统工程理论与实践》、《管理科学学报》等发表论文100余篇。

                                                          金融工程与风险管理研究中心