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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

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - In: Journal of economic surveys 30 (2016) 2, pp. 377-392

Persistent link: https://www.econbiz.de/10011553496

Applied time series econometrics

Lütkepohl, Helmut (ed.); Krätzig, Markus (contributor) - 2009 - Transferred to digital printing

Persistent link: https://www.econbiz.de/10009702029

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010233639

Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010233991

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010249640

Applied time series econometrics

Lütkepohl, Helmut (contributor); … - 2004

Persistent link: https://www.econbiz.de/10001851355

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2016

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been...

Persistent link: https://www.econbiz.de/10011878239

Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10013220281

Co-Integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe - 2009

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

Persistent link: https://www.econbiz.de/10013159424

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