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Journal of Business & Economic Statistics Volume 10, 1992 - Issue 2
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Original Articles

Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach

Anil K. Bera Department of Economics, University of Illinois at Urbana-Champaign, Champaign, IL, 61820
,
Matthew L. Higgins Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, Wl, 53201
&
Sangkyu Lee CNB Economic Research Institute, 1536-7 Seoul, Korea
Pages 133-142 | Published online: 02 Jul 2012

Citations (10)

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Read on this site (6)

Ralf Östermark. (2010) Concurrent processing of heteroskedastic vector-valued mixture density models. Journal of Applied Statistics 37:10, pages 1637-1659.
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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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J. D. Byers & D. A. Peel. (1995) Bilinear quadratic ARCH and volatility spillovers in inter-war exchange rates. Applied Economics Letters 2:7, pages 215-219.
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Articles from other publishers (4)

Rune Höglund & Ralf Östermark. (1997) Recursive least squares modelling: empirical evidence from the Finnish and Japanese markets. Kybernetes 26:8, pages 893-907.
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Andrew P. Blake & George Kapetanios. (2003) Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean. SSRN Electronic Journal.
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Nixon Chekenya. (2018) The Effects of Arch on Nonsensical Regressions. SSRN Electronic Journal.
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Tim Bollerslev. (2008) Glossary to ARCH (GARCH). SSRN Electronic Journal.
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