Testing conditional heteroscedasticity with systematic sampling of time series
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Cites work
- Aggregation and systematic sampling of periodic ARMA processes
- An accurate approximation to the distribution of a linear combination of non-central chi-square random variables
- Analysis of financial time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bartlett's formula for a general class of nonlinear processes
- Closing the GARCH gap: Continuous time GARCH modeling
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Estimating weak GARCH representations
- GARCH models. Structure, statistical inference and financial applications
- Generalized autoregressive conditional heteroscedasticity
- Introduction to modern time series analysis.
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- On a measure of lack of fit in time series models
- Regular variation of GARCH processes.
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Temporal Aggregation of Garch Processes
- Temporal aggregation of multivariate GARCH processes
- Temporal aggregation of seasonally near-integrated processes
- Temporal aggregation of volatility models
- Testing for GARCH effects: A one-sided approach
- Time series analysis. Univariate and multivariate methods.
- Time series: theory and methods.
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