One-Sided Testing For Arch Effects Using Wavelets
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- Francq, Christian & ZakoÃ¯an, Jean-Michel, 2009.
"Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,"
Journal of the American Statistical Association,
American Statistical Association, vol. 104(485), pages 313-324.
- Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Center for Research in Economics and Statistics.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
- Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
- Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
- Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.
- Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
- Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing, 2010. "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 183-201, November.
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