On robust testing for conditional heteroscedasticity in time series models

Computational Statistics & Data Analysis ◽

10.1016/s0167-9473(03)00173-7 ◽

2004 ◽

Vol 46 (2) ◽

pp. 227-256 ◽

Author(s):

Pierre Duchesne

Keyword(s):

Time Series ◽

Time Series Models ◽

Conditional Heteroscedasticity ◽

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Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

10.1093/biomet/92.3.691 ◽

2005 ◽

Vol 92 (3) ◽

pp. 691-701 ◽

Author(s):

Guodong Li ◽

Wai Keung Li

Keyword(s):

Time Series ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Conditional Heteroscedasticity ◽

Diagnostic Checking

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Hybrid quantile regression estimation for time series models with conditional heteroscedasticity

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/rssb.12277 ◽

2018 ◽

Vol 80 (5) ◽

pp. 975-993 ◽

Author(s):

Yao Zheng ◽

Qianqian Zhu ◽

Guodong Li ◽

Zhijie Xiao

Keyword(s):

Time Series ◽

Quantile Regression ◽

Time Series Models ◽

Regression Estimation ◽

Conditional Heteroscedasticity

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association ◽

10.1080/01621459.1997.10474076 ◽

1997 ◽

Vol 92 (439) ◽

pp. 1184-1194 ◽

Author(s):

Shiqing Ling ◽

W. K. Li

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Conditional Heteroscedasticity

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Monitoring parameter change for time series models with conditional heteroscedasticity

Economics Letters ◽

10.1016/j.econlet.2017.01.003 ◽

2017 ◽

Vol 152 ◽

pp. 66-70 ◽

Author(s):

Jaewon Huh ◽

Haejune Oh ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Time Series Models ◽

Parameter Change ◽

Conditional Heteroscedasticity ◽

Monitoring Parameter

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Beyond long memory in heart rate variability: An approach based on fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

Chaos An Interdisciplinary Journal of Nonlinear Science ◽

10.1063/1.4802035 ◽

2013 ◽

Vol 23 (2) ◽

pp. 023103 ◽

Author(s):

Argentina Leite ◽

Ana Paula Rocha ◽

Maria Eduarda Silva

Keyword(s):

Time Series ◽

Heart Rate Variability ◽

Long Memory ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Conditional Heteroscedasticity

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Stationary and non-stationary time series models with conditional heteroscedasticity

10.5353/th_b3123600 ◽

1997 ◽

Author(s):

Shiqing Ling

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Time Series Models ◽

Conditional Heteroscedasticity ◽

Stationary Time

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Statistical inference for some financial time series models with conditional heteroscedasticity

10.5353/th_b3979402 ◽

2008 ◽

Author(s):

Chun-kit Kwan

Keyword(s):

Time Series ◽

Statistical Inference ◽

Financial Time Series ◽

Time Series Models ◽

Conditional Heteroscedasticity ◽

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Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

10.1093/biomet/asn014 ◽

2008 ◽

Vol 95 (2) ◽

pp. 399-414 ◽

Author(s):

G. Li ◽

W. K. Li

Keyword(s):

Time Series ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Least Absolute Deviation ◽

Absolute Deviation ◽

Conditional Heteroscedasticity ◽

Least Absolute Deviation Estimation

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Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

SSRN Electronic Journal ◽

10.2139/ssrn.2858328 ◽

2016 ◽

Author(s):

Yao Zheng ◽

Qianqian Zhu ◽

Guodong Li ◽

Zhijie Xiao

Keyword(s):

Time Series ◽

Quantile Regression ◽

Time Series Models ◽

Regression Estimation ◽

Conditional Heteroscedasticity

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Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity

Scandinavian Journal of Statistics ◽

10.1111/sjos.12199 ◽

2015 ◽

Vol 43 (3) ◽

pp. 700-720 ◽

Author(s):

Jungsik Noh ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Quantile Regression ◽

Time Series Models ◽

Conditional Heteroscedasticity

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