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Catani, Paul; Teräsvirta, Timo; Yin, Meiqun A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model. (English) Zbl 1524.62416 Econom. Rev. 36, No. 6-9, 599-621 (2017). MSC: 62M10 62F03 62P20 PDFBibTeX XMLCite \textit{P. Catani} et al., Econom. Rev. 36, No. 6--9, 599--621 (2017; Zbl 1524.62416) Full Text: DOI Link
Amado, Cristina; Teräsvirta, Timo Specification and testing of multiplicative time-varying GARCH models with applications. (English) Zbl 1524.62403 Econom. Rev. 36, No. 4, 421-446 (2017). MSC: 62M10 62F03 62P20 PDFBibTeX XMLCite \textit{C. Amado} and \textit{T. Teräsvirta}, Econom. Rev. 36, No. 4, 421--446 (2017; Zbl 1524.62403) Full Text: DOI Link
Chen, Yi-Ting; Qu, Zhongjun \(M\) tests with a new normalization matrix. (English) Zbl 1491.62195 Econom. Rev. 34, No. 5, 617-652 (2015). MSC: 62P20 62M10 62H15 62E20 PDFBibTeX XMLCite \textit{Y.-T. Chen} and \textit{Z. Qu}, Econom. Rev. 34, No. 5, 617--652 (2015; Zbl 1491.62195) Full Text: DOI
Kwan, W.; Li, W. K.; Ng, K. W. A multivariate threshold varying conditional correlations model. (English) Zbl 1180.62123 Econom. Rev. 29, No. 1, 20-38 (2010). MSC: 62M10 62P05 91G70 65C60 62H99 PDFBibTeX XMLCite \textit{W. Kwan} et al., Econom. Rev. 29, No. 1, 20--38 (2010; Zbl 1180.62123) Full Text: DOI Link
Grigoletto, Matteo; Provasi, Corrado Misspecification testing for the conditional distribution model in GARCH-type processes. (English) Zbl 1161.62058 Econom. Rev. 28, No. 1-3, 209-224 (2009). MSC: 62M10 62P05 62G09 65C05 62G30 62G10 62F12 PDFBibTeX XMLCite \textit{M. Grigoletto} and \textit{C. Provasi}, Econom. Rev. 28, No. 1--3, 209--224 (2009; Zbl 1161.62058) Full Text: DOI
Ling, Shiqing; Li, W. K.; McAleer, Michael Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. (English) Zbl 1106.62346 Econom. Rev. 22, No. 2, 179-202 (2003). MSC: 62M10 65C05 PDFBibTeX XMLCite \textit{S. Ling} et al., Econom. Rev. 22, No. 2, 179--202 (2003; Zbl 1106.62346) Full Text: DOI