One‐sided testing for conditional heteroskedasticity in time series models

DOI10.1111/1467-9892.00049zbMath0937.62089OpenAlexW2049544633MaRDI QIDQ4221688

Yongmiao Hong

Publication date: 13 June 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00049

zbMATH Keywords

ARCHfrequency domain analysisweightingone-sided testing for multiparameter hypotheses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Evaluating financial time series models for irregularly spaced data: a spectral density approach ⋮ On robust testing for conditional heteroscedasticity in time series models ⋮ A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity ⋮ Estimation and testing for the parameters of ARCH(q) under ordered restriction ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

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