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A Test For Conditional Heterskedasticity In Time Series Midels

Author

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  • BERA, A.K.
  • HIGGINS, M.L.

Abstract

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Suggested Citation

  • Bera, A.K. & Higgins, M.L., 1990. "A Test For Conditional Heterskedasticity In Time Series Midels," University of Western Ontario, The Centre for the Study of International Economic Relations Working Papers 9003, University of Western Ontario, The Centre for the Study of International Economic Relations.
    • Handle: RePEc:uwo:wocier:9003
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    Cited by:

    1. Farruggio, Christian & Michalak, Tobias C. & Uhde, Andre, 2013. "The light and dark side of TARP," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2586-2604.
    2. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
    3. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, University Library of Munich, Germany.
    4. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
    5. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
    6. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.

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