Results 21 to 30 of about 2,017,563 (356)
Tests for the equality of conditional variance functions in nonparametric regression
Electronic Journal of Statistics, 2015 In this paper we are interested in checking whether the conditional variances are equal in k ≥ 2 location-scale models. Our procedure is fully nonparametric and is based on the comparison of the error distributions under the null hypothesis of equality ...
J. Pardo-Fernández +2 more
semanticscholar +9 more sources
Social Science Research Network, 1998 This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution.
J. Lye, Vance L. Martin, Leslie E Teo
semanticscholar +3 more sources
Jurnal Fourier, 2020 Penelitian ini membahas tentang pembentukan portofolio optimal menggunakan model Mean Absolute Deviation (MAD) dan model Conditional Mean Variance (CMV).
Eka Nur Vanti, Epha Diana Supandi
doaj +3 more sources
Mean–variance relationship and uncertainty [PDF]
Seonmul yeongu, 2022 This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market's expected excess return is positively related to the market's conditional variances and implied variance during low uncertainty periods ...
Jun Sik Kim
doaj +1 more source
Modeling Realized Variance with Realized Quarticity
Stats, 2022 This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other.
Hiroyuki Kawakatsu
doaj +1 more source
On Independence Neutrosophic Random Variables [PDF]
Neutrosophic Sets and Systems, 2021 In this article we study independence neutrosophic random variables and conditioned expectation, we prove that conditional variance is equal to neutrosophic conditional variance.
Carlos Granados, Jose Sanabria
doaj +1 more source
Common Persistence in Conditional Variances [PDF]
Econometrica, 1993 Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approximate unit root in the autoregressive polynomial in the ...
Bollerslev, Tim, Engle, Robert F
openaire +2 more sources
Modeling the exchange rate of the euro against the dollar using the ARCH/GARCH models [PDF]
Bankarstvo, 2016 The analysis of time series with conditional heteroskedasticity (changeable time variability, conditional variance instability, the phenomenon called volatility) is the main task of ARCH and GARCH models.
Kovačević Radovan
doaj +1 more source
The variance implied conditional correlation [PDF]
The European Journal of Finance, 2019 We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized variables with the variances of linear combinations thereof ...
Andres Algaba +2 more
openaire +3 more sources
Confidence Interval Construction and Conditional Variance Estimation with Dense ReLU Networks [PDF]
arXivThis paper addresses the problems of conditional variance estimation and confidence interval construction in nonparametric regression using dense networks with the Rectified Linear Unit (ReLU) activation function. We present a residual-based framework for conditional variance estimation, deriving nonasymptotic bounds for variance estimation under both ...
Carlos Misael Madrid Padilla +4 more
openalex +2 more sources