Testing for linear autoregressive dynamics under heteroskedasticity
From MaRDI portal
Publication:2707870
DOI10.1111/1368-423X.00045zbMath0970.91058MaRDI QIDQ2707870
Helmut Herwartz, Christian M. Hafner
Publication date: 4 April 2001
Published in: The Econometrics Journal (Search for Journal in Brave)
Related Items (11)
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets ⋮ New testing approaches for mean-variance predictability ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ Consistent nonparametric change point detection combining CUSUM and marked empirical processes ⋮ Simple approximations for option pricing under mean reversion and stochastic volatility ⋮ Analytical quasi maximum likelihood inference in multivariate volatility models ⋮ ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS ⋮ Robustness of residual-based bootstrap to the composition of serially correlated errors ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ A comparison of statistical tests for the adequacy of a neural network regression model
This page was built for publication: Testing for linear autoregressive dynamics under heteroskedasticity