Results 271 to 280 of about 7,709 (301)

A Note on Conditional Heteroskedasticity in the Market Model

Journal of Accounting, Auditing & Finance, 1993
We examine the usefulness and implications of modeling conditional heteroskedasticity in market model residual returns. Autoregressive conditional heteroskedasticity (ARCH) plays a key role in our approach. To highlight the salient issues, we first provide a case study of one firm, Winn-Dixie Stores. Formal testing procedures reveal strong ARCH effects.
Francis X. Diebold, Steve C. Lim, C. Jevons Lee   +2 more
openaire   +1 more source

On mixture autoregressive conditional heteroskedasticity

Journal of Statistical Planning and Inference, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Unit root tests with conditional heteroskedasticity

Journal of Econometrics, 1993
Abstract This paper considers the finite-sample accuracy (size) of the Dickey-Fullerunit root tests when the errors are conditionally heteroskedastic. We consider the specific case that the error variance follows a GARCH (1,1) model. The Dickey-Fuller tests tend to overreject in the presence of GARCH errors, but the problem is not very serious except
Kiwhan Kim, Peter Schmidt
openaire   +1 more source

APT With Observed Factors and Conditional Heteroskedasticity

Managerial Finance, 1993
Several authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of non‐stationarity, namely, conditional heteroskedasticity, in the empirical APT with observed factors.
Gregory Koutmos, Panayiotis Theodossiou
openaire   +1 more source

Non Linear Moving-Average Conditional Heteroskedasticity [PDF]

, 2005
Ever since the appearance of the ARCH model (Engle 1982a), an impressive array of variance specifications belonging to the same class of models has emerged. Despite numerous successful developments, several empirical studies seem to show that their performance is not always appropriate.
Ventosa-Santaulària, Daniel, Mendoza V., Alfonso   +1 more
openaire   +1 more source

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
openaire   +1 more source

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
openaire  

Conditional Heteroskedasticity in Economic Time Series

1988
In this Chapter we introduce a model of autoregressive conditional heteroskedasticity (ARCH). The model is motivated explicitly by considerations arising in a time-series context, and it will play a key role in the analysis of dollar spot exchange rates of later Chapters.
openaire   +1 more source

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 ...
openaire   +1 more source

Empirical Analysis of Conditional Heteroskedasticity in Time Series of Stock Returns and Asymmetric Effect on Volatility

Global Business Review, 2010
Raj S Dhankar
exaly