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Testing for ARCH in the presence of a possibly misspecified conditional mean
15 references·12 citing·35 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1992Testing for parameter instability in linear models768 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
  • 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence405 cited
  • 1976Forecasting Transformed Series297 cited
  • 1985Small-Sample Properties of ARCH Estimators and Tests185 cited

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  • 1999Testing for ARCH in the presence of additive outliers155 cited
  • Cited by

    • 1997ARCH and Bilinearity as Competing Models for Nonlinear Dependence66 cited
    • 2004Are 'Market Neutral' Hedge Funds Really Market Neutral?64 cited
    • 2003Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification61 cited
    • 2010TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS53 cited
    • 2014A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis48 cited
    • 1999A New Test for ARCH Effects and Its Finite-Sample Performance47 cited
    • 2003STOCK RETURN AND MACROECONOMIC FUNDAMENTALS IN MODEL- SPECIFICATION FRAMEWORK : EVIDENCE FROM INDIAN STOCK MARKET31 cited
    • 2007Joint and marginal specification tests for conditional mean and variance models31 cited
    • 2014Large versus small foreign exchange interventions30 cited
    • 2006Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean29 cited
    • 2005Testing Predictability and Nonlinear Dependence in the Indian Stock Market20 cited
    • 2006The demand for money in China 1987–2004: A non-linear modelling approach15 cited