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Prediction in ARMA models with GARCH in mean effects
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On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study
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Temporal Aggregation of Univariate and Multivariate Time Series Models : A Survey
Silvestrini, Andrea, (2008)
Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
Aknouche, Abdelhakim, (2013)
Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes
Aknouche, Abdelhakim, (2015)