One‐sided testing for conditional heteroskedasticity in time series models

• 1 May 1997
• journal article
• Published by Wiley in Journal of Time Series Analysis
• Vol. 18  (3) , 253-277
• https://doi.org/10.1111/1467-9892.00049

Abstract

Keywords

• ARCH
• FREQUENCY DOMAIN ANALYSIS
• ONE‐SIDED TESTING FOR MULTIPARAMETER HYPOTHESES
• WEIGHTING