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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form [PDF]
SSRN Electronic Journal, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GONÇALVES, Silvia, KILIAN, Lutz
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A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA
Buletin Ekonomi Moneter dan Perbankan, 2019 We test whether the Indonesian foreign exchange market is efficient. Since empirical evidence has been inconclusive, we employ a new generalized autoregressive conditional heteroskedasticity–based unit root test to examine the Efficient Market Hypothesis
Bernard Njindan Iyke
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Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
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Are soft commodities markets affected by the Halloween effect?
Agricultural Economics (AGRICECON), 2021 Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of ...
Monika Krawiec, Anna Górska
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Conditional Heteroskedasticity in Crypto-Asset Returns [PDF]
SSRN Electronic Journal, 2017 This paper examines the time series properties of cryptocurrency assets, such as Bitcoin, using established econometric inference techniques, namely models of the GARCH family. The contribution of this study is twofold. I explore the time series properties of cryptocurrencies, a new type of financial asset on which there appears to be little or no ...
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Health and Quality of Life Outcomes, 2022 Background Respondents in a health valuation study may have different sources of error (i.e., heteroskedasticity), tastes (differences in the relative effects of each attribute level), and scales (differences in the absolute effects of all attributes ...
Suzana Karim +2 more
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Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Model
Mathematics, 2022 The recent price crash of the New York Mercantile Exchange (NYMEX) crude oil futures contract, which occurred on 20 April 2020, has caused history-writing movements of relative prices.
Tong Liu, Yanlin Shi
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ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2014 In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile likelihood principle.
JIN, Sainan, SU, Liangjun, XIAO, Zhijie
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Functional Generalized Autoregressive Conditional Heteroskedasticity
Journal of Time Series Analysis, 2016 Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of autoregressive conditional heteroskedastic and generalized autoregressive conditional heteroskedastic (GARCH) processes.
Aue, Alexander +2 more
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Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility
International Journal of Financial Studies, 2018 This study investigates the impact of commodity price volatility (including soft commodities, precious metals, industrial metals, and energy) on the dynamics of corporate sukuk returns.
Nader Naifar
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