Results 231 to 240 of about 2,588 (267)

Mixture periodic autoregressive conditional heteroskedastic models

Computational Statistics & Data Analysis, 2008
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Bentarzi, M., Hamdi, F.
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A Heteroskedasticity Test Robust to Conditional Mean Misspecification

Econometrica, 1992
Summary: This paper proposes a new test statistic to detect the presence of heteroskedasticity. The proposed test does not require a parametric specification of the mean regression function in the first stage regression. The regression function is estimated nonparametrically by the kernel estimation method.
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Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of Econometrics, 1996
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Baillie, Richard T., Bollerslev, Tim, Mikkelsen, Hans Ole   +2 more
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Bootstrapping Neural tests for conditional heteroskedasticity [PDF]

, 2006
We deal with bootstrapping tests for detecting conditional heteroskedasticity in the context of standard and nonstandard ARCH models. We develope parametric and nonparametric bootstrap tests based both on the LM statistic and a neural statistic. The neural tests are designed to approximate an arbitrary nonlinear form of the conditional variance by a ...
Carole Siani, Christian de Peretti
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Omitted Asymmetric Persistence and Conditional Heteroskedasticity [PDF]

Economics Bulletin, 2006
We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as ...
Luiz Lima, Breno Neri
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations [PDF]

, 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to an ...
Annastiina Silvennoinen, Timo Teräsvirta   +1 more
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Nonlinear models for autoregressive conditional heteroskedasticity [PDF]

, 2011
This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed.
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Processes with Autoregressive Conditional Heteroskedasticity (ARCH)

2016
In particular in the case of financial time series one often observes a highly fluctuating volatility (or variance) of a series: Agitated periods with extreme amplitudes alternate with rather quiet periods being characterized by moderate observations. After some short preliminary considerations concerning models with time-dependent heteroskedasticity ...
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Conditional Heteroskedasticity

2004
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Conditional Selection of Genomic Alterations Dictates Cancer Evolution and Oncogenic Dependencies

Cancer Cell, 2017
Marco Mina, Daniele Tavernari, Elena Battistello   +2 more
exaly