, 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 … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing … assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we … analytically derive the unit-root versions of two of the best fitting heteroscedasticity models (EGARCH and TGARCH). The model is …

autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any … constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the … structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …