A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS

DOI10.1111/J.1467-9892.1992.TB00123.XMaRDI QIDQ4025279zbMATH OpenOpenAlexWikidataFDO

Authors Anil K. Bera, Matthew L. Higgins

Publication date 18 February 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2142/30049

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A Class of Nonlinear Arch Models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Modelling the persistence of conditional variances
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(15)

• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• Specification test for a linear regression model with ARCH process
• Testing for conditional heteroscedasticity: some monte carlo results
• ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
• On testing for multivariate ARCH effects in vector time series models
• A test for the presence of conditional heteroskedasticity within arch-m framework
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• Testing heteroscedasticity in nonlinear and nonparametric regressions
• On Testing the Equality of Mean and Quantile Effects
• Score tests when a nuisance parameter is unidentified under the null hypothesis
• Rao's score test in spatial econometrics
• On robust testing for conditional heteroscedasticity in time series models

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