## 20,060 Citations

### Conditional Heteroskedasticity Driven by Hidden Markov Chains

- Mathematics, Economics
- 2001

We consider a generalized autoregressive conditionally heteroskedastic (GARCH) equation where the coefficients depend on the state of a nonobserved Markov chain. Necessary and sufficient conditions…

### Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

- Economics, Mathematics
- 1991

### Testing Coefficients of Autoregressive Conditional Heteroskedasticity Models by Graphical Approach

- Mathematics, Economics
- 2012

The graphical approach is applied to the autoregressive conditional heteroskedasticity time series models. After transformation, it is shown that the coefficients of GARCH model are the conditional…

### Nonlinear models for autoregressive conditional heteroskedasticity

- Mathematics, Economics
- 2011

This paper contains a brief survey of nonlinear models of autoregressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle…

### Generalized Autoregressive Conditional Heteroscedastic Time Series Models

- Mathematics
- 2003

Autoregressive and Moving Average time series models and their combination are reviewed. Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic…

### ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

- Mathematics
- 1988

. The correlation structure for the squares from the generalized autoregressive conditional heteroskedastic (GARCH) process is presented. It is shown that the behaviour of the correlations for the…

### On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

- Mathematics, EconomicsMath. Comput. Simul.
- 2009

### Spatial extension of generalized autoregressive conditional heteroskedasticity models

- Economics, Mathematics
- 2020

ABSTRACT This paper proposes an extension of generalized autoregressive conditional heteroskedasticity (GARCH) models for a time series to those for spatial data, which are called here spatial GARCH…

### A model for long memory conditional heteroscedasticity

- Mathematics
- 2000

For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s…

## References

SHOWING 1-10 OF 24 REFERENCES

### Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

- Mathematics
- 1982

Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional…

### A simple test for heteroscedasticity and random coefficient variation (econometrica vol 47

- Mathematics
- 1979

A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random…

### TESTING AGAINST GENERAL AUTOREGRESSIVE AND MOVING AVERAGE ERROR MODELS WHEN THE REGRESSORS INCLUDE LAGGED DEPENDENT VARIABLES

- Mathematics
- 1978

Since dynamic regression equations are often obtained from rational distributed lag models and include several lagged values of the dependent variable as regressors, high order serial correlation in…

### DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

- Mathematics
- 1983

. Squared‐residual autocorrelations have been found useful in detecting nonlinear types of statistical dependence in the residuals of fitted autoregressive‐moving average (ARMA) models (Granger and…

### ARMA MODELS WITH ARCH ERRORS

- Economics, Mathematics
- 1984

. This paper considers the class of ARMA models with ARCH errors. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and…

### Maximum Likelihood Estimation of Misspecified Models

- Mathematics, Economics
- 1982

This paper examines the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood estimator (QMLE)…

### The econometric analysis of time series

- Economics
- 1977

The Econometric Analysis of Time Series "focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs".

### ON THE INVARIANCE OF THE LAGRANGE MULTIPLIER TEST WITH RESPECT TO CERTAIN CHANGES IN THE ALTERNATIVE HYPOTHESIS

- Mathematics
- 1981

This paper examines some implications of the observation that the same Lagrange multiplier test is sometimes appropriate for quite different alternative hypotheses. A characterization of the class of…