Showing results 1 to 7 of 7
Title | Author(s) | Issue Date | |
---|---|---|---|
Detecting and diagnostic checking multivariate conditional heteroscedastic time series models Journal:Annals of the Institute of Statistical Mathematics | 2002 | ||
Distribution of the cross-correlations of squared residuals in ARIMA models Journal:Canadian Journal of Statistics | 1996 | ||
2001 | |||
Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares Journal:Computational Statistics and Data Analysis | 1997 | ||
Joint modeling of cointegration and conditional heteroscedasticity with applications Journal:Annals of the Institute of Statistical Mathematics | 2005 | ||
On a multivariate conditional heteroscedastic model Journal:Biometrika | 1997 | ||
Portmanteau test for conditional heteroscedasticity using ranks of squared residuals Journal:Journal of Applied Statistics | 1995 |