Results 91 to 100 of about 124,454 (198)
The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances [PDF]
The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in
Antoni Espasa +2 more
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Journal of Flood Risk ManagementStreamflow (Qflow) process is one of the complex stochastic processes in the hydrology cycle owing to its associated non‐linearity and non‐stationarity characteristics.
Bugrayhan Bickici +4 more
doaj +1 more source
Applied SciencesThe cultivation of abalone, a species with high economic value, faces significant challenges due to its slow growth rate and sensitivity to environmental conditions, resulting in prolonged cultivation periods and increased mortality risks.
Seung-Won Seo +7 more
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Does Inflation Targeting Matter? A Reassessment [PDF]
This paper uses a number of identification approaches (using instrumental variables, assumptions about heteroscedasticity and panel fixed effects) to estimate the effect of inflation targeting on inflation.
Luke B. Willard
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Second-Moment/Order Approximations by Kernel Smoothers with Application to Volatility Estimation
MathematicsVolatility estimation and quantile regression are relevant active research areas in statistics, machine learning and econometrics. In this work, we propose two procedures to estimate the local variances in generic regression problems by using kernel ...
León Beleña +3 more
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"An Optimal Modification of the LIML Estimation for Many Instruments and Persistent Heteroscedasticity" [PDF]
We consider the estimation of coefficients of a structural equation with many instrumental variables in a simultaneous equation system. It is mathematically equivalent to an estimating equation estimation or a reduced rank regression in the statistical ...
Naoto Kunitomo
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Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework [PDF]
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework.
Bernd Hayo, Britta Niehof
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Stock Returns and Monetary Policy: Are There Any Ties ? [PDF]
This paper empirically investigates the following three questions: (i) Do stock returns respond to monetary policy shocks? (ii) Do stock returns alter the transmission mechanism of monetary policy?
Badye Omar Essid +2 more
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Revista Ingenierías Universidad de Medellín, 2007 En este trabajo se consideran los rendimientos diarios de un activo financiero con el propósito de modelar y comparar la densidad de probabilidad de la volatilidad estocástica de los retornos. Para tal fin, se proponen los modelos ARCH y sus extensiones,
Carlos Alexánder Grajales Correa +1 more
doaj
Post-Hoc Tests in One-Way ANOVA: The Case for Normal Distribution
MethodologyWhen one-way ANOVA is statistically significant, a multiple comparison problem arises, hence post-hoc tests are needed to elucidate between which groups significant differences are found.
Joel Juarros-Basterretxea +5 more
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