A test for multivariate ARCH effects

Applied Economics Letters

Volumn 12, Issue 7, 2005, Pages 411-417

  Hacker, R Scott ^a   Hatemi J, Abdulnasser ^b,c  

^a JÖNKÖPING INTERNATIONAL BUSINESS SCHOOL   (Sweden)

^b UNIVERSITY OF SKÖVDE   (Sweden)

^c LUND UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

METHODOLOGY; MULTIVARIATE ANALYSIS;

EID: 22144437066     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850500092129     Document Type: Article

References (8)

1. Anderson, T. W. (1958) An Introduction to Multivariate Statistical Analysis, Wiley, New York.
2. Davison, A. C. and Hinkley, D. V. (1999) Bootstrap Methods and their Application, Cambridge University Press, Cambridge.
3. Efron, B. (1979) Bootstrap methods: another look at the jackknife, Annals of Statistics, 7, 1-26.
4. Engle, R. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom iflation, Econometrica, 50, 987-1007.
5. Hatemi-J, A. (2003) A new method to choose optimal lag order in stable and unstable VAR models, Applied Economics Letters, 10, 135-7.
6. Hatemi-J, A. (2004) Multivariate tests for autocorrelation in stable and unstable VAR models, Economic Modelling, 21, 661-83.
7. Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Advanced Texts in Econometrics, Oxford University Press, New York.
8. Sims, C. A. (1980) Macroeconomics and reality, Econometrica, 48, 1-28.