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Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
16 references·0 citing·36 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 2001The Long and Large Decline in U.S. Output Volatility995 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1987Modelling Financial Time Series.598 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
  • 2000The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence336 cited
  • 2010GARCH Models325 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2005Nonstationarities in Stock Returns296 cited
  • 2004Testing for Volatility Changes in U.S. Macroeconomic Time Series256 cited
  • 2006Statistical inference for time-varying ARCH processes

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251 cited
  • 2009Break detection in the covariance structure of multivariate time series models247 cited
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