On robust testing for conditional heteroscedasticity in time series models

Computational Statistics and Data Analysis

Volumn 46, Issue 2, 2004, Pages 227-256

  Duchesne, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

ARCH effects; Outliers; Robust autocorrelation function; Robustness; S estimators; Spectral density; Time series

Indexed keywords

CORRELATION METHODS; LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS; STATISTICAL TESTS; TIME SERIES ANALYSIS;

AUTOCORRELATIONS; AUTOREGRESSION; HETEROSCEDASTTICITY; ROBUST TESTING;

ROBUSTNESS (CONTROL SYSTEMS);

TIME SERIES ANALYSIS;

EID: 16544385792     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(03)00173-7     Document Type: Article

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