Testing for multivariate volatility functions using minimum volume sets and inverse regression
Year of publication: |
2008
|
---|---|
Authors: | Polonik, Wolfgang ; Yao, Qiwei |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 147.2008, 1, p. 151-162
|
Subject: | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Theorie | Theory |
-
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia, (2002)
-
Mixed normal conditional heteroskedasticity
Haas, Markus, (2002)
-
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia, (2004)
- More ...
-
Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang, (2008)
-
Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang, (2005)
-
Set-Indexed Conditional Empirical and Quantile Processes Based on Dependent Data
Polonik, Wolfgang, (2002)
- More ...