On robust testing for conditional heteroscedasticity in time series models
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- Bollerslev, Tim, 1986.
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- Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July.
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- Dufour, Jean-Marie & Roy, Roch, 1985.
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- Dufour, J.M. & Roy, R., 1984. "Some Robust Exact Results on Sample Autocorrelations and Tests of Randomness," Cahiers de recherche 8412, Universite de Montreal, Departement de sciences economiques.
- Jiang, Jiancheng & Zhao, Quanshui & Hui, Yer Van, 2001. "Robust Modelling of ARCH Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 111-33, March.
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- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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