Recommendations
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Evaluating GARCH models.
- Testing the adequacy of GARCH-type models in time series
- Diagnostic checking of multivariate time series GARCH-type models
- Diagnostics for conditional heteroscedasticity models: some simulation results.
Cites work
- M-ESTIMATION IN GARCH MODELS
- A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Diagnostics for conditional heteroscedasticity models: some simulation results.
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Least absolute deviations estimation for ARCH and GARCH models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Testing for conditional heteroscedasticity: some monte carlo results
- The efficiency of the estimators of the parameters in GARCH processes.
Cited in
(8)- Influence diagnostics in log-linear integer-valued GARCH models
- Serial independence tests for innovations of conditional mean and variance models
- Evaluating GARCH models.
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Diagnostic test for the two-step estimators of heavy-tailed GARCH models
- Testing the adequacy of GARCH-type models in time series
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