On robust testing for conditional heteroscedasticity in time series models

DOI10.1016/S0167-9473(03)00173-7zbMath1430.62192MaRDI QIDQ956923

Pierre Duchesne

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

outliersrobustnesstime seriesspectral densityS-estimatorsARCH effectsrobust autocorrelation function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Improved multivariate portmanteau test ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Robust M-estimation of multivariate GARCH models ⋮ Detecting an innovative outlier in a set of time series ⋮ A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity ⋮ On the online estimation of local constant volatilities ⋮ Nonparametric and robust methods. (Editorial)

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