Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
From MaRDI portal
Publication:4912051
DOI10.1080/00949655.2011.558087zbMath1431.62352OpenAlexW2016079149MaRDI QIDQ4912051
No author found.
Publication date: 21 March 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2011.558087
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Estimation and tests for power-transformed and threshold GARCH models
- Time series: theory and methods.
- On conditional least squares estimation for stochastic processes
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Generalized autoregressive conditional heteroscedasticity
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Class of Nonlinear Arch Models
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Testing for conditional heteroscedasticity: some monte carlo results
- Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
This page was built for publication: Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series