estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic … empirical power, how one corrects for heteroskedasticity matters. We also compare its performance with that of the Wald …

asymptotically independent. We develop tests for the proportionality function and for the validity of the model. We show through … simulations the good performance of tests for tail homoscedasticity. The results are applied to stock market returns. A main tool …