Narrow search
Showing 1 - 10 of 31,209
Cover Image
Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273
Persistent link: https://www.econbiz.de/10003739092
Cover Image
A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
Cover Image
Size Distortions of the Wild Bootstrapped HCCME-Based LM Test for Serial Correlation in the Presence of Asymmetric Conditional Heteroskedasticity
Grobys, Klaus - 2015
This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped … evidence reported in this paper indicates that wild bootstrap versions of the LM test for serial correlation tend to overreject …
Persistent link: https://www.econbiz.de/10013029965
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
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
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
Feasible weighted projected principal component analysis for semi-parametric factor models
Choi, Sung Hoon - In: The econometrics journal 26 (2023) 2, pp. 215-234
Persistent link: https://www.econbiz.de/10014319342
Cover Image
Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
Cover Image
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Cover Image
Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120