Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models
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Volume (Year): 54 (2002)
Issue (Month): 1 (March)
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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, March.
- Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu, 1992. "Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 133-42, April.
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