Results 261 to 270 of about 111,969 (307)
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Asymmetric Predictability of Conditional Variances
Review of Financial Studies, 1991We show that there is an asymmetry in the predictability of the volatilities of large versus small firms. Using both univariate and multivariate ARMA-GARCH-M parameterizations, we find that volatility surprises to large market value firms are important to the future dynamics of their own returns as well as the returns of smaller firms.
Conrad, Jennifer +2 more
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Conditional variance model checking
Journal of Statistical Planning and Inference, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Koul, Hira L., Song, Weixing
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Uncertainty and the conditional variance
Statistics & Probability Letters, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Jiahua +2 more
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Modeling the changing asymmetry of conditional variances
Economics Letters, 1996zbMATH Open Web Interface contents unavailable due to conflicting licenses.
MELE, Antonio, FORNARI, F.
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Conditional Distance Variance and Correlation
2012Recently a new dependence measure, the distance correlation, has been proposed to measure the dependence between continuous random variables. A nice property of this measure is that it can be consistently estimated with the empirical average of the products of certain distances between the sample points.
Poczos, Barnabas, Schneider, Jeff
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Poststratification and Conditional Variance Estimation
Journal of the American Statistical Association, 1993Poststratification estimation is a technique used in sample surveys to improve efficiency of estimators. Survey weights are adjusted to force the estimated numbers of units in each of a set of estimation cells to be equal to known population totals. The resulting weights are then used in forming estimates of means or totals of variables collected in ...
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TESTING CONSTANCY OF CONDITIONAL VARIANCE IN HIGH DIMENSION
Statistica Sinica, 2020This paper is a study on the testing of the constancy of a conditional covariance matrix. The authors propose a slice-based procedure to test for constant conditional variance in cases where the size of the data is larger than the sample size.
Deng, Lu +3 more
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Conditional variance equation and its analysis
Symposium (International) on Combustion, 1998The conditional moment closure method, found to perform well for reacting flow predictions, needs a second-order closure when there are extinction and ignition processes occurring in the flow. The secondorder contributions include the effect of the conditional variance of reactive species fluctuations. An evolution equation for the conditional variance
N. Swaminathan, R.W. Bilger
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Content horizons for conditional variance forecasts
International Journal of Forecasting, 2005Abstract Using realized variance to estimate daily conditional variance of financial returns, we compare forecasts of daily variance from standard GARCH and FIGARCH models estimated by Quasi-Maximum Likelihood (QML), and from projections on past realized volatilities obtained from high-frequency data. We consider horizons extending to 30 trading days.
John W. Galbraith, Turgut Kıṣınbay
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On the Conditional Variance of Fuzzy Random Variables
Metrika, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Näther, Wolfgang, Wünsche, Andreas
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