Similar Search Results

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1 …

Persistent link: https://www.econbiz.de/10009579187

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10011304126

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

Persistent link: https://www.econbiz.de/10009663846

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001701901

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - In: The econometrics journal 3 (2000) 2, pp. 177-197

Persistent link: https://www.econbiz.de/10001546181

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001377688

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 … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …

Persistent link: https://www.econbiz.de/10011862130

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

Persistent link: https://www.econbiz.de/10011334362

Bitcoin option pricing with a SETAR-GARCH model

Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595

Persistent link: https://www.econbiz.de/10012484403

Dynamics of inflation and inflation uncertainty in Pakistan

Munir, Kashif; Riaz, Nimra - In: International journal of monetary economics and finance … 13 (2020) 2, pp. 130-145

Persistent link: https://www.econbiz.de/10012254279

1
2
3
4
5
6
7
8
9
10
Next
Last