A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS-Reference-Cited by-同舟云学术

A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS

Published:1992-11 Issue:6 Volume:13 Page:501-519
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J Time Series Analysis

Author:

Bera A. K.,Higgins M. L.

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.1992.tb00123.x/fullpdf

Reference23 articles.

1. A. K. Bera, and M. L. Higgins(1992 ) A survey of ARCH models:properties estimation and testing. BEBR Faculty Working Paper 92-0117, University of Illinois.

2. Generalized autoregressive conditional heteroskedasticity

3. ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

4. ARCH modeling in finance

5. The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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