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Quantile sieve estimates for time series
Franke, Jürgen (contributor);  … - 2007
We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...
Persistent link: https://www.econbiz.de/10003422933
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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 …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …
Persistent link: https://www.econbiz.de/10011862130
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Heteroscedasticity and interval effects in estimating beta : UK evidence
Armitage, Seth; Brzeszczynski, Janusz - In: Applied financial economics 21 (2011) 19/21, pp. 1525-1538
Persistent link: https://www.econbiz.de/10009356071
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Volatility of stock markets : (an analysis of South Asian and G8 countries)
Baig, Muhammad Mansoor; Aslam, Waheed; Malik, Qaiser; … - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 6, pp. 58-70
Persistent link: https://www.econbiz.de/10011513908
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Event studies correcting for nonnormality using the wild bootstrap
Gregoriou, Andros - In: Applied economics letters 21 (2014) 13/15, pp. 1054-1056
Persistent link: https://www.econbiz.de/10010418235
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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
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Do bitcoins follow a random walk model?
Aggarwal, Divya - In: Research in economics : an international review of economics 73 (2019) 1, pp. 15-22
Persistent link: https://www.econbiz.de/10012305863
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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13
distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …
Persistent link: https://www.econbiz.de/10012022130
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Application of GARCH model to forecast data and volatility of share price of energy (Study on Adaro Energy Tbk, LQ45)
Virginia, Erica; Ginting, Josep; Elfaki, Faiz A. M. - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 131-140
Persistent link: https://www.econbiz.de/10011881316
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Stock Prices Trend Analysis : Comparative Neural Networks, Linear Models and Conditional Heteroscedasticity Models
Dabirian, Manoochehr; Shams, Shahabeddin - 2013
obtained from Linear Models and Conditional heteroscedasticity models …
Persistent link: https://www.econbiz.de/10014159095