On testing for multivariate ARCH effects in vector time series models (Q4470644): Difference between revisions

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+W2034133493
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+A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
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+Generalized autoregressive conditional heteroscedasticity
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+ARCH modeling in finance. A review of the theory and empirical evidence
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+A Class of Nonlinear Arch Models
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+The Multivariate Portmanteau Statistic
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+On a measure of lack of fit in time series models
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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+A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
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+ARMA MODELS WITH ARCH ERRORS
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+Q4217824
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+Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
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