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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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Identification and estimation using heteroscedasticity without instruments : the binary endogenous regressor
Lewbel, Arthur - 2016
Persistent link: https://www.econbiz.de/10011712374
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An application of directional quantiles to economic data with a multivariate response
Kalina, Jan - In: Serbian journal of management : an international … 15 (2020) 2, pp. 193-203
Persistent link: https://www.econbiz.de/10012418067
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Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
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Identification of asymmetric conditional heteroscedasticity in the presence of outliers
Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201
The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between …
Persistent link: https://www.econbiz.de/10011458810
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, Whitney K. - 1986
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions
Persistent link: https://www.econbiz.de/10012477198
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A test for kronecker product structure covariance matrix
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - 2022
Persistent link: https://www.econbiz.de/10012814351
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Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity
Grobys, Klaus - 2017
presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size …
Persistent link: https://www.econbiz.de/10012943966