Factor double autoregressive models with application to simultaneous causality testing (Q2437865): Difference between revisions

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+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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+Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+Estimation and Testing Stationarity for Double-Autoregressive Models
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+Q5434016
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+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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+A consistent nonparametric test for nonlinear causality -- specification in time series regression
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+Testing for Granger causality in variance in the presence of causality in mean
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+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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