A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

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ARCH modeling in finance

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Martingale Limit Theory and its Application.

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Convergence of Stochastic Processes.

Peter M. Robinson, David Pollard · Economica · 1985 · 2.3K citations

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DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

A. Ian McLeod, W. K. Li · Journal of Time Series Analysis · 1983 · 1.1K citations

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