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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+ARCH modeling in finance. A review of the theory and empirical evidence
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+Dynamic Econometrics
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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
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+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
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+Publication:4416013