On robust testing for conditional heteroscedasticity in time series models
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- Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, June.
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- 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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- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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"Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions,"
ULB Institutional Repository
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- Faouzi El Bantli & Marc Hallin, 2001. "Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions," ULB Institutional Repository 2013/127962, ULB -- Universite Libre de Bruxelles.
- Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
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