market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the …,1), the QMLE can be consistent under unknown heteroskedasticity when the spatial weights matrices in the two MESS processes …

quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the …,1), the QMLE can be consistent under unknown heteroskedasticity when the spatial weights matrices in the two MESS processes …

heteroskedasticity robust covariance matrix estimator. In this paper, we show that the wild bootstrap estimator can be calculated …

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …

This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …

heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the …

heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the …