1 citations · 1 across the 2 of their papers we have counts for
2 papers
stat.ME2012
Testing second order dynamics for autoregressive processes in presence of time-varying variance
Valentin Patilea, Hamdi Raïssi
The volatility modeling for autoregressive univariate time series is considered. A benchmark approach is the stationary ARCH model of Engle (1982). Motivated by real data evidence,…
stat.ME2010★ 1 cited
Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
Valentin Patilea, Hamdi Raïssi
Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is determin…