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20102020
most citedTesting instantaneous causality in presence of non constant unconditional variance

3 citations · 7 across the 5 of their papers we have counts for

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stat.ME2011★ 1 cited

Corrected portmanteau tests for VAR models with time-varying variance

Valentin Patilea, Hamdi Raïssi

The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-vary…