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Specification Tests for Time Series Models with GARCH-Type Conditional Variance

Perera, Indeewara - 2018

Specification tests are developed for the conditional distribution of a dependent process {X<sub>i</sub>} in a family of nonlinear time-series models. The family includes several Generalized AutoRegressive Conditional Heteroscedastic [GARCH] models that are widely used in finance and economics. Such tests...

Persistent link: https://www.econbiz.de/10012924783

A score test for seasonal fractional integration and cointegration

Silvapulle, Paramsothy - 1996

Persistent link: https://www.econbiz.de/10000948478

A score test for seasonal fractional integration and cointegration

Silvapulle, Param - 1996

Persistent link: https://www.econbiz.de/10000603420

Testing for seasonal stability in unemployment series : international evidence

Banik, Shipra - 1997

Persistent link: https://www.econbiz.de/10000976090

Some robust properties of unit root tests

Silvapulle, Paramsothy - 1993

Persistent link: https://www.econbiz.de/10000864998

Testing for a unit root in a time series with mean shifts

Silvapulle, Paramsothy - 1993

Persistent link: https://www.econbiz.de/10000865000

Testing for serial correlation in the presence of conditional heteroskedasticity

Silvapulle, Paramsothy; Evans, Merran - 1993

Persistent link: https://www.econbiz.de/10000878855

Testing for ARCH in ARCH-in-mean model

Beg, Rabiul Alam - 1997

Persistent link: https://www.econbiz.de/10000985366

Finite sample properties of seasonal fractional integration tests

Banik, Shipra; Silvapulle, Param - 1998

Persistent link: https://www.econbiz.de/10001378656

Long-term memory in stock market prices : international evidence

Sadique, Shibley; Silvapulle, Param - 1998

Persistent link: https://www.econbiz.de/10001378658

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