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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

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

On the origins of conditional heteroscedasticity in time series

Ashley, Richard A. - 2010

Persistent link: https://www.econbiz.de/10009381537

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

Persistent link: https://www.econbiz.de/10011334362

Quasi-maximum likelihood estimation of heteroskedastic fractional time series models

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...

Persistent link: https://www.econbiz.de/10010360982

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

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

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...

Persistent link: https://www.econbiz.de/10011490564

Volatility of stock markets : (an analysis of South Asian and G8 countries)

Baig, Muhammad Mansoor; Aslam, Waheed; Malik, Qaiser; … - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 6, pp. 58-70

Persistent link: https://www.econbiz.de/10011513908

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