most citedAdaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

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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…