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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

Improvized implied volatility function and nonparametric approach to unbiased estimation

Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014251229

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

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

A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model

Bin, Peng; Yu, Junqi; Zhu, Yi - In: Economics letters 201 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012607089

Weighted composite quantile regression estimation of DTARCH models

Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan - In: The econometrics journal 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010498763

Small-sample inference with spatial HAC estimators

Dorn, Sabrina; Egger, Peter - In: Economics letters 125 (2014) 2, pp. 236-239

Persistent link: https://www.econbiz.de/10010505357

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

Predictive Quantile Regressions Under Persistence and Conditional Heteroskedasticity

Fan, Rui - 2019

This paper provides an improved inference for predictive quantile regressions with persistent predictors and conditionally heteroskedastic errors. The confidence intervals based on conventional quantile regression techniques are not valid when predictors are highly persistent. Moreover, the...

Persistent link: https://www.econbiz.de/10012901370

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

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