On robust testing for conditional heteroscedasticity in time series models

DOI10.1016/S0167-9473(03)00173-7zbMATH Open1430.62192MaRDI QIDQ956923FDOQ956923

Authors: P. Duchesne 

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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zbMATH Keywords

outlierstime seriesrobustnessspectral densityS-estimatorsARCH effectsrobust autocorrelation function

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (20)

• Detecting an innovative outlier in a set of time series
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Robust M-estimation of multivariate GARCH models
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• Heteroscedasticity testing after outlier removal
• Title not available (Why is that?)
• Robust high-dimensional alpha test for conditional time-varying factor models
• Robust residual cross correlation tests for lagged relations in time series
• Title not available (Why is that?)
• Testing conditional heteroscedasticity with systematic sampling of time series
• Improved multivariate portmanteau test
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• Robust modelling of DTARCH models
• Nonparametric and robust methods. (Editorial)
• Robust Portmanteau TRA Tests and Their Limit Distribution
• On the online estimation of local constant volatilities
• ARCH tests and quantile regressions
• The use of aggregate time series for testing conditional heteroscedasticity
• Robust estimates for arch processes
• Generalized runs tests for heteroscedastic time series

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