ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR

DOI10.1081/STA-120004917MaRDI QIDQ4449054zbMATH OpenFDO

Authors Djamal Louani, N. Laïb

Publication date 4 February 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120004917

zbMATH Keywords

ARCH-errorsAutoregression modelChi-square testErgodic processesMartingale differenceTightness

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
• A Lagrange multiplier test for GARCH models
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES 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
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Identification of nonlinear time series from first order cumulative characteristics
• Nonparametric model checks for time series
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• The geometric ergodicity and existence of moments for a class of nonlinear time series model

Cited in

(9)

• Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
• A test of conditional heteroscedasticity in time series
• A note on non-parametric testing for Gaussian innovations in AR-ARCH models
• Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Large sample tests for a regression model with autoregressive conditional heteroscedastic errors
• Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
• On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series
• Autoregressive conditional heteroscedasticity: a comparison of ARCH and random coefficient models

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