Portmanteau test for a class of multivariate asymmetric power GARCH model
研究了多元幂变换非对称模型残差平方自协方差和自相关的渐近性质，提出了混成检验统计量，并通过蒙特卡洛实验和金融数据应用验证。
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi‐variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.