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A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach

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  • Gregory, Allan W

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 7 (1989)
Issue (Month): 1 (January)
Pages: 107-15

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Handle: RePEc:bes:jnlbes:v:7:y:1989:i:1:p:107-15

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Cited by:
  1. Nieuwland, Frederick G.M.C. & Verschoor, Willem F.C. & Wolff, Christian C.P., 2000. "Exchange risk premia in the European monetary system," Open Access publications from Maastricht University urn:nbn:nl:ui:27-13921, Maastricht University.
  2. Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
  3. Nieuwland, Frederick G M C & Verschoor, Willem F C & Wolff, Christian C P, 1994. "Stochastic trends and jumps in EMS exchange rates," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 699-727, December.
  4. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November.
  5. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).

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