On matricial measures of dependence in vector ARCH models with applications to diagnostic checking (Q1770073): Difference between revisions

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+https://doi.org/10.1016/j.spl.2004.02.006
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+A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
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+Q4265493
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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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+Handbook of econometrics. Vol. 4
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+On testing for multivariate ARCH effects in vector time series models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+The Multivariate Portmanteau Statistic
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+Residual‐based diagnostics for conditional heteroscedasticity models
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+A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
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+Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
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+Publication:1770073