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Testing for GARCH effects: a one-sided approach

, и . Journal of Econometrics, 86 (1): 97--127 (сентября 1998)

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Enrique Casanovas

Enrique Lozano

Enrique Gaviola

Enrique Barros

Enrique Knorr

 

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Likelihood-Based Estimation of Latent Generalized ARCH Structures, , и . Econometrica, 72 (5): 1481--1517 (245 09 2004)doi: 10.1111/j.1468-0262.2004.00541.x.Identification, estimation and testing of conditionally heteroskedastic factor models, и . Journal of Econometrics, 102 (2): 143--164 (июня 2001)Marginalization and contemporaneous aggregation in multivariate GARCH processes, и . Journal of Econometrics, 71 (1-2): 71--87 (00 1996)Testing for GARCH effects: a one-sided approach, и . Journal of Econometrics, 86 (1): 97--127 (сентября 1998)On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models, , и . Economics Letters, 83 (3): 307--312 (июня 2004)Factor representing portfolios in large asset markets. Journal of Econometrics, 119 (2): 257--289 (апреля 2004)Unobserved component time series models with Arch disturbances, , и . Journal of Econometrics, 52 (1-2): 129--157 (00 1992)