On robust testing for conditional heteroscedasticity in time series models
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Cites work
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- A Lagrange multiplier test for GARCH models
- A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
- A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations
- A comparison of some estimators of time series autocorrelations
- A goodness-of-fit test in robust time series modelling
- ARCH modeling in finance. A review of the theory and empirical evidence
- ARMA MODELS WITH ARCH ERRORS
- Asymptotic behaviour of M-estimators in \(AR(p)\) models under nonstandard conditions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Behavior of robust estimators in the regression model with dependent errors
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Generalized autoregressive conditional heteroscedasticity
- Generalized portmanteau statistics and tests of randomness
- Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
- High breakdown-point and high efficiency robust estimates for regression
- Highly robust estimation of the autocovariance function
- Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
- On a measure of lack of fit in time series models
- One‐sided testing for conditional heteroskedasticity in time series models
- Robust Statistics
- Robust and powerful serial correlation tests with new robust estimates in ARX models
- Robust estimates for arch processes
- Robust estimation of the SUR model
- Robust multiple time series modelling
- Robust residual cross correlation tests for lagged relations in time series
- Some robust exact results on sample autocorrelations and tests of randomness
- \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
Cited in
(20)- Generalized runs tests for heteroscedastic time series
- Detecting an innovative outlier in a set of time series
- Robust high-dimensional alpha test for conditional time-varying factor models
- Testing conditional heteroscedasticity with systematic sampling of time series
- Robust Portmanteau TRA Tests and Their Limit Distribution
- Robust residual cross correlation tests for lagged relations in time series
- ARCH tests and quantile regressions
- Improved multivariate portmanteau test
- The use of aggregate time series for testing conditional heteroscedasticity
- Robust modelling of DTARCH models
- scientific article; zbMATH DE number 1192389 (Why is no real title available?)
- Nonparametric and robust methods. (Editorial)
- scientific article; zbMATH DE number 2015218 (Why is no real title available?)
- Heteroscedasticity testing after outlier removal
- scientific article; zbMATH DE number 1959650 (Why is no real title available?)
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
- Robust estimates for arch processes
- Robust M-estimation of multivariate GARCH models
- On the online estimation of local constant volatilities
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