[1] Billingsley P. The Lindeberg-Levy theorem for martingales. Proceedings of the American Mathematical
Society, 1961, 12: 788–92
[2] Bollerslev T. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 1986, 31:
307–327
[3] Bollerslev T, Chou R Y, Kroner K F. ARCH modelling in finance: a review of the theory and empirical
evidence. Journal of Econometrics, 1992, 52: 5–59
[4] Bollerslev T, Engle R F, Nelson D B. ARCH models. In: Engle R F, McFadden D L, eds. Handbook of
Econometrics 4. Amsterdam: North-Holland, 1994. 2961–3038
[5] Bollerslev T, Wooldridge J M. Maximum likelihood estimation and inference in dynamic models with time
varying covariance. Econometric Reviews, 1992, 11: 143–172
[6] Engle R F. Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation.
Econometrica, 1982, 50: 987–1008
[7] Hentschel L. All in the family: Nesting symmetric and asymmetric GARCH models. Journal of Financial
Economics, 1995, 39: 71–104
[8] Li W K. Diagnostic Checks in Time Series. Chapman and Hall, 2004
[9] Li W K, Ling S, McAleer M. Recent theoretical results for time series models with GARCH errors. Journal
of Economic Surveys, 2002, 16: 245–269
[10] Li W K, Mak T K. On the squared residual autocorrelations in non-linear time series with conditional
heteroscedasticity. Journal of Time Series Annalysis, 1994, 15: 627–636
[11] Strasser H. Mathematical Theory of Statistics. Berlin: De Gruyter, 1985
[12] Stute W, Zhu L X. Nonparametric checks for single-index models. Annals of Statistics, 2005, 33(3): 1048–
1083
[13] Tse Y K. Residual-based diagnostic for conditional heteroscedasticity model. Econometrics Journal, 2002,
5: 358–373
|