Robust modelling of ARCH models

Journal of Forecasting

Volumn 20, Issue 2, 2001, Pages 111-133

  Jiang, Jiancheng ^a   Zhao, Quanshui ^b   Van Hui, Yer ^b  

^a PEKING UNIVERSITY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Conditional heteroscedasticity; Median regression; Model diagnostic; Residual autocorrelation

Indexed keywords

EID: 0035277522     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200103)20:2<111::AID-FOR786>3.0.CO;2-N     Document Type: Article

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