A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS

DOI10.1111/j.1467-9892.1992.tb00123.xzbMath0850.62671OpenAlexW2020464522WikidataQ56806324 ScholiaQ56806324MaRDI QIDQ4025279

Anil K. Bera, Matthew L. Higgins

Publication date: 18 February 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2142/30049

Mathematics Subject Classification ID

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

Related Items (15)

A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model ⋮ Specification test for a linear regression model with ARCH process ⋮ A test for the presence of conditional heteroskedasticity within arch-m framework ⋮ Testing for conditional heteroscedasticity: some monte carlo results ⋮ On robust testing for conditional heteroscedasticity in time series models ⋮ On Testing the Equality of Mean and Quantile Effects ⋮ On matricial measures of dependence in vector ARCH models with applications to diagnostic checking ⋮ Score tests when a nuisance parameter is unidentified under the null hypothesis ⋮ Rao's score test in spatial econometrics ⋮ Testing heteroscedasticity in nonlinear and nonparametric regressions ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR ⋮ Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ On testing for multivariate ARCH effects in vector time series models

Cites Work

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• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis

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