Narrow search
Showing 1 - 10 of 2,082
Cover Image
Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10010468803
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A self-normalization test for correlation change
Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
Cover Image
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Cover Image
A nonlinear analysis of the real exchange rate-consumption relationship
Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Macroeconomic dynamics 22 (2018) 7, pp. 1825-1843
Persistent link: https://www.econbiz.de/10011918182
Cover Image
Estimating cross-sectional regressions in event studies with conditional heteroskedasticity and regression designs that have leverage
Karafiath, Imre - In: International journal of managerial finance : IJMF 10 (2014) 4, pp. 418-431
Persistent link: https://www.econbiz.de/10010411856
Cover Image
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273