A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

Statistics and Probability Letters

Volumn 33, Issue 3, 1997, Pages 321-331

  Min, Chen ^a   An, Hong Zhi ^a  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

Brownian motion; Conditional heteroskedasticity; Hypothesis testing; Nonlinear time series model

Indexed keywords

EID: 0031554146     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(96)00143-5     Document Type: Article

References (14)

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