Results 81 to 90 of about 124,454 (198)

Modelling conditional heteroscedasticity in nonstationary series [PDF]

SSRN Electronic Journal, 2010
To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate varying- coefficients models and compare all methods by ...
openaire   +5 more sources

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models [PDF]

We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity ...
Liangjun Su, Zhenlin Yang
core   +3 more sources

Multivariate Heteroscedasticity Models for Functional Brain Connectivity

Frontiers in Neuroscience, 2017
Functional brain connectivity is the co-occurrence of brain activity in different areas during resting and while doing tasks. The data of interest are multivariate timeseries measured simultaneously across brain parcels using resting-state fMRI (rfMRI ...
Christof Seiler, Susan Holmes
doaj   +1 more source

Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility [PDF]

We propose an empirical procedure, which exploits the conditional heteroscedasticity of fundamental disturbances, to test the targeting and orthogonality restrictions imposed in the recent VAR literature to identify monetary policy shocks.
Louis Phaneuf, Michel Normandin
core  

SPURIOUS AND HIDDEN VOLATILITY [PDF]

This paper analyzes the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects.
Daniel Peña, Esther Ruiz, M. Angeles Carnero   +2 more
core  

Searching for gene-gene interactions through variance quantitative trait loci of 29 continuous Taiwan Biobank phenotypes

Frontiers in Genetics
Introduction: After the era of genome-wide association studies (GWAS), thousands of genetic variants have been identified to exhibit main effects on human phenotypes. The next critical issue would be to explore the interplay between genes, the so-called “
Wan-Yu Lin, Wan-Yu Lin
doaj   +1 more source

Endogenous semiparametric binary choice models with heteroscedasticity [PDF]

In this paper we consider endogenous regressors in the binary choice model under a weak median exclusion restriction, but without further specification of the distribution of the unobserved random components.
Stefan Hoderlein
core  

ANALISIS VOLATILITAS DAN PERAMALAN KURS JUAL RUPIAH TERHADAP RIYAL ARAB SAUDI MENGGUNAKAN MODEL ARCH/GARCH

E-Jurnal Matematika
Exchange rate volatility is a phenomenon that affects economic stability, particularly in the context of international trade between Indonesia and Saudi Arabia.
ROSSY NOVIYANA, ADAWIYAH ASTI KHALIL
doaj   +1 more source

Homeowners? Repeat-Sale Gains, Dual Agency and Repeated Use of the Same Agent [PDF]

Previous studies of dual agency, where one agent serves both buyer and seller in a transaction, use hedonic models. Repeat-sale methods can test for the price effect of accepting dual agency. Dual agency does not show convincing effects on expected gain,
Phillip T. Kolbe, Richard D. Evans
core  

Factors of interregional integration of food markets of the Volga Federal District

Векторы благополучия: экономика и социум
The article presents an analysis of the degree of integration of food markets for livestock products in the regions of the Volga Federal District. The problems of food supply do not lose their relevance in the modern world. This study is based on the key
E.A. Mazeina
doaj   +1 more source