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Estimating ARCH models when the coefficients are allowed to be equal to zero

Francq, Christian; Zakoïan, Jean-Michel - 2008

Persistent link: https://www.econbiz.de/10003755838

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

On the treatment of heteroscedasticity in crop yield data

Ker, Alan P.; Tolhurst, Tor N. - In: American journal of agricultural economics 101 (2019) 4, pp. 1247-1261

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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

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D.; Susmel, Raul - 1993

Persistent link: https://www.econbiz.de/10000877974

Conditional heteroskedasticity models with Pearson Family Disturbances

Magdalinos, Michael A.; Mitsopoulos, George P. - In: The refinement of econometric estimation and test …, (pp. 1-33). 2007

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Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models

Xiao, Zhijie; Koenker, Roger - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1696-1712

Persistent link: https://www.econbiz.de/10003993253

Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?

Trifi, Amine (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10003559185

Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

Čížek, Pavel; Härdle, Wolfgang; Spokojnyj, Vladimir G. - In: The econometrics journal 12 (2009) 2, pp. 248-271

Persistent link: https://www.econbiz.de/10003875660

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

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