Temporal dependence in asset pricing models

DOI10.1016/0165-1765(94)90038-8zbMath0800.62792OpenAlexW2077005941WikidataQ121335131 ScholiaQ121335131MaRDI QIDQ1331857

Harry J. Turtle

Publication date: 29 August 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90038-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A general approach to Lagrange multiplier model diagnostics
• Generalized autoregressive conditional heteroscedasticity
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS

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