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Modified variance ratio test for autocorrelation in the presence of heteroskedasticity
Chand, Sohail; Aftab, Nuzhat - In: The Lahore journal of economics 23 (2018) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011980462
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Robust estimation for the orthogonal GARCH model
Iqbal, Farhat - In: The Manchester School 81 (2013) 6, pp. 904-924
Persistent link: https://www.econbiz.de/10010341578
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A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat; Mukherjee, Kanchan - In: Journal of forecasting 31 (2012) 5, pp. 377-390
Persistent link: https://www.econbiz.de/10009582118