Testing for serial correlation in the presence of dynamic heteroscedasticity

DOI10.1080/07474939808800402zbMath0965.62075OpenAlexW2023920423MaRDI QIDQ4384999

Merran A. Evans, Paramsothy Silvapulle

Publication date: 31 July 2001

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/267909/files/monash-216.pdf

zbMATH Keywords

tablesARCH-correlated testsARMA-ARCH modelserial correlations tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Dynamic Asymmetric Leverage in Stochastic Volatility Models ⋮ The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

Cites Work

• An econometric analysis of nonsynchronous trading
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A Probability Distribution and Its Uses in Fitting Data

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