On robust testing for conditional heteroscedasticity in time series models (Q956923): Difference between revisions

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+A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
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+Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
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+Robust estimation of the SUR model
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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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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Q3680116
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+A comparison of some estimators of time series autocorrelations
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+Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
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+Robust and powerful serial correlation tests with new robust estimates in ARX models
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+Q4438064
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+Some robust exact results on sample autocorrelations and tests of randomness
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+Generalized portmanteau statistics and tests of randomness
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+Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Q4002943
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+One‐sided testing for conditional heteroskedasticity in time series models
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+Robust Statistics
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+Behavior of robust estimators in the regression model with dependent errors
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+A Lagrange multiplier test for GARCH models
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+A goodness-of-fit test in robust time series modelling
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+Robust multiple time series modelling
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+Robust residual cross correlation tests for lagged relations in time series
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+On a measure of lack of fit in time series models
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+Q3817481
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+Highly Robust Estimation of the Autocovariance Function
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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+Robust estimates for arch processes
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+A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations
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+Q3683344
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+\(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
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+ARMA MODELS WITH ARCH ERRORS
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+High breakdown-point and high efficiency robust estimates for regression
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