On robust testing for conditional heteroscedasticity in time series models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Caroni, C. & Karioti, V., 2004. "Detecting an innovative outlier in a set of time series," Computational Statistics & Data Analysis, Elsevier, vol. 46(3), pages 561-570, June.
- Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
- Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
- Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
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