A test of conditional heteroscedasticity in time series

DOI10.1007/BF02872047zbMath0953.62092MaRDI QIDQ1283077

Min Chen, Hong-Zhi An

Publication date: 29 August 2000

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

nonlinear time series modelsconditional heteroscedasticity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

On an asymmetric functional-coefficient ARCH-M model ⋮ Statistic inference for a single-index ARCH-M model

Cites Work

• Autocorrelation, autoregression and autoregressive approximation
• ARCH modeling in finance. A review of the theory and empirical evidence
• The geometric ergodicity and existence of moments for a class of nonlinear time series model
• A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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