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A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS
7 references·2 citing·18 second hop
A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS (2001)A CONSISTENT TEST FOR CONDITIONAL HETEROS…CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY (1998)CONSISTENT SPECIFICATION TEST…A test for independence based on the correlation dimension (1996)A test for independence based…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Semiparametric Estimation Of Bivariate Latent Variable Models (1987)Semiparametric Estimation Of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing Conditional Uncorrelatedness (2009)Testing Conditional Uncorrela…Semiparametric Estimator of Time Series Conditional Variance (2009)Semiparametric Estimator of T…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)An approximate method for generating symmetric random variables (1972)Pairwise-difference estimation of incomplete information games (2011)Spatial Econometrics: Methods and Models (1988)Dynamic Conditional Correlation (2002)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS (2018)A Survey of Some Recent Econometric Methods (1989)Parametric and semi-parametric modelling of vacation expenditures (1996)Scale economies in electricity distribution: a semiparametric analysis (2000)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1987Semiparametric Estimation Of Bivariate Latent Variable Models105 cited
  • 1998CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY33 cited

Cited by

  • 2009Semiparametric Estimator of Time Series Conditional Variance30 cited
  • 2009Testing Conditional Uncorrelatedness20 cited

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