Diagnostic Checking for GARCH-Type Models (Q4921650): Difference between revisions

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+The efficiency of the estimators of the parameters in GARCH processes.
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+Generalized autoregressive conditional heteroscedasticity
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+Q5663204
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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
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+Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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+<i>M</i>-ESTIMATION IN GARCH MODELS
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+Least absolute deviations estimation for ARCH and GARCH models
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+Testing for conditional heteroscedasticity: some monte carlo results
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+Diagnostics for conditional heteroscedasticity models: some simulation results.
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