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      Testing for nonlinearity in mean and volatility for heteroskedastic models

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      Publication date Created:
      Publication date (Print):
      Journal: Mathematics and Computers in Simulation
      Publisher: Elsevier BV

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          Generalized autoregressive conditional heteroskedasticity

          Tim Bollerslev (1986)
          Article 0 comments Cited 1555 times – based on 0 reviews     Review now
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            Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

            Robert F. Engle (1982)
            Article 0 comments Cited 1427 times – based on 0 reviews     Review now
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              Prior distributions for variance parameters in hierarchical models (comment on article by Browne and Draper)

              Andrew Gelman (2006)
              Article 0 comments Cited 767 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Mathematics and Computers in Simulation
                Abbreviated Title: Mathematics and Computers in Simulation
                Publisher: Elsevier BV
                ISSN (Print): 03784754
                Publication date Created: December 2008
                Publication date (Print): December 2008
                Volume: 79
                Issue: 3
                Pages: 489-499
                Article
                DOI: 10.1016/j.matcom.2008.01.044
                SO-VID: 956e3ba9-9ff1-4681-bd87-e6c372fac874
                Copyright © © 2008
                License:

                http://www.elsevier.com/tdm/userlicense/1.0/

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