Residual‐based diagnostics for conditional heteroscedasticity models (Q4416013): Difference between revisions

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+Specification test for a linear regression model with ARCH process
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+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
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+Dynamic Econometrics
@@ Property / cites work: Dynamic Econometrics / rank @@
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+A test for constant correlations in a multivariate GARCH model
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+Q4869532
@@ Property / cites work: Q4869532 / rank @@
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+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
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+https://doi.org/10.1111/1368-423x.t01-1-00088
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+W2061046774
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