Testing ARCH effect of high-dimensional time series data-Reference-Cited by-同舟云学术

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Testing ARCH effect of high-dimensional time series data

Published:2024-06-22 Issue: Volume: Page:1-19
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Li Xuejiao¹,Wei Shufang²,Yang Yaxing¹²³

Affiliation:

1. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China

2. Department of Statistics and Data Science, School of Economics, Xiamen University, Xiamen, China

3. MOE Key Lab of Econometrics and Fujian Key Lab of Statistics, Xiamen University, Xiamen, China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2024.2367001

Reference39 articles.

1. Market Models and Heteroscedasticity of Residual Security Returns

2. Regularized estimation in sparse high-dimensional time series models

3. Simultaneous analysis of Lasso and Dantzig selector

4. Generalized autoregressive conditional heteroskedasticity

5. Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

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