Tests for conditional heteroscedasticity of functional data
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- scientific article; zbMATH DE number 2199143
Cites work
- A functional version of the ARCH model
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Functional Data Analysis with R and MATLAB
- Functional GARCH models: the quasi-likelihood approach and its applications
- Functional generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 50713 (Why is no real title available?)
- scientific article; zbMATH DE number 1223843 (Why is no real title available?)
- scientific article; zbMATH DE number 1460605 (Why is no real title available?)
- Inference for functional data with applications
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
- Linear processes in function spaces. Theory and applications
- On testing for multivariate ARCH effects in vector time series models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Portmanteau Test of Independence for Functional Observations
- Predictability of shapes of intraday price curves
- Residual‐based diagnostics for conditional heteroscedasticity models
- Robust score and portmanteau tests of volatility spillover
- Test of independence for functional data
- Testing separability of functional time series
- Testing stationarity of functional time series
- Time series analysis and its applications. With R examples
- Time series: theory and methods.
- Weakly dependent functional data
- White noise testing and model diagnostic checking for functional time series
Cited in
(22)- A new approach for testing the randomness of heteroskedastic time series data
- Functional GARCH models: the quasi-likelihood approach and its applications
- The effect of conditional heteroskedasticity on common statistical procedures for means and variances
- Change point analysis of covariance functions: a weighted cumulative sum approach
- Intra-day co-movements of crude oil futures: China and the international benchmarks
- A test for heteroscedasticity in functional linear models
- Trinity tests of functions for conditional moment models
- Functional ARCH and GARCH models: a Yule-Walker approach
- Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series
- A functional version of the ARCH model
- Functional generalized autoregressive conditional heteroskedasticity
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
- Inference from heteroscedastic functional data
- scientific article; zbMATH DE number 2199143 (Why is no real title available?)
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
- Testing for common conditionally heteroskedastic factors
- White noise testing for functional time series
- Detection and estimation of structural breaks in high-dimensional functional time series
- A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
- Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
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