✦ LIBER ✦

One-sided testing for conditional heteroskedasticity in time series models

✍ Scribed by Yongmiao Hong

Book ID: 108549286
Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 392 KB
Volume: 18
Category: Article
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00049

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Testing for reduction to random walk in

Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

✍ Claudia Klüppelberg; Ross A. Maller; Mark Van De Vyver; Derick Wee 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 159 KB

A Kolmogorov-Smirnov type test for condi

A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

✍ Min Chen; Hong Zhi An 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 392 KB

In this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.

On pseudo maximum likelihood estimation

On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

✍ Shuangzhe Liu; Heinz Neudecker 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 173 KB

On estimation in conditional heteroskeda

On estimation in conditional heteroskedastic time series models under non-normal distributions

✍ Shuangzhe Liu; Chris C. Heyde 📂 Article 📅 2006 🏛 Springer-Verlag 🌐 English ⚖ 210 KB

A Neuro-Genetic Algorithm for Heterosked

A Neuro-Genetic Algorithm for Heteroskedastic Time-Series Processes Empirical Tests on Global Asset Returns

✍ R. Östermark 📂 Article 📅 1999 🏛 Springer 🌐 English ⚖ 439 KB

Testing for serial dependence in time se

Testing for serial dependence in time series models of counts

✍ Robert C. Jung; A. R. Tremayne 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 365 KB