Estimation and inference of the vector autoregressive process under heteroscedasticity (Q2890716): Difference between revisions

@@ Property / cites work @@
+A Simple Test for Heteroscedasticity and Random Coefficient Variation
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Unit Root Tests under Time-Varying Variances
@@ Property / cites work: Unit Root Tests under Time-Varying Variances / rank @@
+Normal rank
@@ Property / cites work @@
+Structural Laplace Transform and Compound Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Stochastic Limit Theory
@@ Property / cites work: Stochastic Limit Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Q2757283
@@ Property / cites work: Q2757283 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Stable Paretian Behavior of Stock-Market Prices
+Normal rank
@@ Property / cites work @@
+Inference in Autoregression under Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Entropy densities with an application to autoregressive conditional skewness and kurtosis.
+Normal rank
@@ Property / cites work @@
+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Nonlinear Regression with Dependent Observations
@@ Property / cites work: Nonlinear Regression with Dependent Observations / rank @@
+Normal rank
@@ Property / cites work @@
+On the consistency of cross-validation in kernel nonparametric regression
+Normal rank
@@ Property / cites work @@
+Adaptive estimation of autoregressive models with time-varying variances
+Normal rank