Estimation and inference of the vector autoregressive process under heteroscedasticity
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Cites work
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- A Simple Test for Heteroscedasticity and Random Coefficient Variation
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- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- scientific article; zbMATH DE number 1676796 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Nonlinear Regression with Dependent Observations
- On the consistency of cross-validation in kernel nonparametric regression
- On the Stable Paretian Behavior of Stock-Market Prices
- Stochastic Limit Theory
- Structural Laplace Transform and Compound Autoregressive Models
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- The Wishart autoregressive process of multivariate stochastic volatility
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Cited in
(9)- Asymptotic properties of some subset vector autoregressive process estimators
- Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Parametric inference of autoregressive heteroscedastic models with errors in variables
- Heteroscedastic modelling via the autoregressive conditional variance subspace
- Inference in Autoregression under Heteroskedasticity
- The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
- On hysteretic vector autoregressive model with applications
- Multi-period power utility optimization under stock return predictability
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