M-estimation and linear hypothesis testing in the ARCH model
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 2013235
- Hypothesis testing for ARCH models: a multiple quantile regressions approach
- Empirical likelihood estimation for ARCH-M models
- Estimation and asymptotic inference in the AR-ARCH model
- Oracally efficient estimation and testing for an ARCH model with trend
- \(L_{p}\)-estimators in ARCH models
- scientific article; zbMATH DE number 5846682
- Specification test for a linear regression model with ARCH process
- scientific article; zbMATH DE number 1223290
Cited in
(13)- Specification test for a linear regression model with ARCH process
- Asymptotic normality of the MLE in the level-effect ARCH model
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- A doubly robustified estimating function for ARCH time series models
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
- Empirical likelihood estimation for ARCH-M models
- A Weighted Linear Estimator of Multivariate ARCH Parameters
- scientific article; zbMATH DE number 5846682 (Why is no real title available?)
- scientific article; zbMATH DE number 1223290 (Why is no real title available?)
- scientific article; zbMATH DE number 2013235 (Why is no real title available?)
- Statistic inference for a single-index ARCH-M model
- scientific article; zbMATH DE number 2164009 (Why is no real title available?)
- Estimation and testing for the parameters of ARCH(q) under ordered restriction
This page was built for publication: M-estimation and linear hypothesis testing in the ARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5296726)
