SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Testing for ARCH in the presence of a possibly misspecified conditional mean · Study

ArticleShelves

ArticleTesting for ARCH in the presence of a possibly misspecified conditional mean

Robin L. Lumsdaine1999

Article1999

Testing for ARCH in the presence of a possibly misspecified conditional mean

Robin L. Lumsdaine · Serena Ng

81 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 81 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1986Modelling the persistence of conditional variances 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1990Persistence in Variance, Structural Change, and the GARCH Model 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence 1992Testing for parameter instability in linear models

Cited by

1997ARCH and Bilinearity as Competing Models for Nonlinear Dependence 2004Are 'Market Neutral' Hedge Funds Really Market Neutral?2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification 2010TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS 2014

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Modelling Nonlinear Economic Time Seriesbook · 6 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 6 shared references 2004Modelling structural breaks, long memory and stock market volatility: an overviewarticle · 6 shared references 2001Autoregressive conditional heteroscedasticity in commodity spot pricesarticle · 6 shared references 2002Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errorsarticle · 6 shared references 1995Unit root tests with level shift in the presence of GARCHarticle · 6 shared references

Details

Year1999

Typearticle

Published1999-12-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations81

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0304-4076(99)00011-1

openalex_workW2116659784

Links

Imported from OpenAlex (CC0) — nothing here is generated.

A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis

1999A New Test for ARCH Effects and Its Finite-Sample Performance

2003STOCK RETURN AND MACROECONOMIC FUNDAMENTALS IN MODEL- SPECIFICATION FRAMEWORK : EVIDENCE FROM INDIAN STOCK MARKET

2007Joint and marginal specification tests for conditional mean and variance models