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Journal of the American Statistical Association Volume 82, 1987 - Issue 398
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Theory and Method

Conditional Heteroscedastic Time Series Models

Ruey S. Tsay Department of Statistics, Carnegie-Mellon University, Pittsburgh, PA, 15213, USA
Pages 590-604 | Received 01 Nov 1983, Published online: 12 Mar 2012

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Marilena Furno. (2004) ARCH tests and quantile regressions . Journal of Statistical Computation and Simulation 74:4, pages 277-292.
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Nicholas Apergis & Anthony Rezitis. (2003) Food price volatility and macroeconomic factor volatility: 'heat waves' or 'meteor showers'?. Applied Economics Letters 10:3, pages 155-160.
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Snigdhansu Chatterjee & Samarjit Das. (2003) Parameter Estimation in Conditional Heteroscedastic Models. Communications in Statistics - Theory and Methods 32:6, pages 1135-1153.
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JOSE G. MONTALVO. (1999) Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market. Applied Financial Economics 9:5, pages 469-475.
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Paramsothy Silvapulle & Merran Evans. (1998) Testing for serial correlation in the presence of dynamic heteroscedasticity. Econometric Reviews 17:1, pages 31-55.
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Robert M. Kunst. (1997) Augmented ARCH models for financial time series: stability conditions and empirical evidence. Applied Financial Economics 7:6, pages 575-586.
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Robert M. Kunst. (1997) Fourth-order moments of augmented arch processes. Communications in Statistics - Theory and Methods 26:6, pages 1425-1441.
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Paramsothy Silvapulle & John Lee. (1997) Robustness of the arch tests in the presence of serial correlation. Communications in Statistics - Simulation and Computation 26:2, pages 649-669.
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S.J. Leybourne, B. P. M. McCabe & A.R. Tremayne. (1996) Can Economic Time Series Be Differenced to Stationarity?. Journal of Business & Economic Statistics 14:4, pages 435-446.
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D. A. PEEL & A. E. H. SPEIGHT. (1994) Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States. International Journal of Systems Science 25:5, pages 943-965.
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AnilK. Bera, MatthewL. Higgins & Sangkyu Lee. (1992) Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach. Journal of Business & Economic Statistics 10:2, pages 133-142.
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AlanL. Tucker. (1992) A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns. Journal of Business & Economic Statistics 10:1, pages 73-81.
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