A robust LR test for the GARCH model
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- Ling, Shiqing & McAleer, Michael, 2003.
"Asymptotic Theory For A Vector Arma-Garch Model,"
Cambridge University Press, vol. 19(02), pages 280-310, April.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Jeffrey M. Wooldridge, 1987.
"Specification Testing and Quasi-Maximum Likelihood Estimation,"
479, Massachusetts Institute of Technology (MIT), Department of Economics.
- Wooldridge, Jeffrey M., 1991. "Specification testing and quasi-maximum- likelihood estimation," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 29-55.
- Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
- 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.
- White,Halbert, 1996.
"Estimation, Inference and Specification Analysis,"
Cambridge University Press, number 9780521574464.
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