Residual-based diagnostics for conditional heteroscedasticity models
Year of publication: |
2002
|
---|---|
Authors: | Tse, Yiu Kuen |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 5.2002, 2, p. 358-373
|
Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Korrelation | Correlation | Heteroskedastizität | Heteroscedasticity |
-
Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
Sriananthakumar, Sivagowry, (2008)
-
Grobys, Klaus, (2015)
-
Tse, Yiu Kuen, (2002)
- More ...
-
Econometric forecasting and high-frequency data analysis
Mariano, Roberto S., (2008)
-
Nonlife actuarial models : theory, methodes and evaluation
Tse, Yiu Kuen, (2009)
-
Tse, Yiu Kuen, (2019)
- More ...