Works matching DE "HETEROSCEDASTICITY"

Results: 2271

A maximum statistic for the one-sided location-scale alternative in the two-stage design.

Published in:

Statistical Methods & Applications, 2025, v. 34, n. 1, p. 91, doi. 10.1007/s10260-024-00775-9

By:

Murakami, Hidetoshi;
Neuhäuser, Markus

Publication type:

Article

Multivariate volatility analysis of VW stock prices.

Published in:

Intelligent Systems in Accounting, Finance & Management, 2000, v. 9, n. 1, p. 35, doi. 10.1002/(SICI)1099-1174(200003)9:1<35::AID-ISAF176>3.0.CO;2-V

By:

Herwartz, Helmut;
Lütkepohl, Helmut

Publication type:

Article

Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 9, p. 1506, doi. 10.3390/math13091506

By:

Lin, Jinguan;
Mao, Yizhi;
Hao, Hongxia;
Liu, Guangying

Publication type:

Article

On deep trade agreements, institutions, and global value chains: evidence from Egypt.

Published in:

Review of World Economics, 2025, v. 161, n. 1, p. 49, doi. 10.1007/s10290-024-00546-4

By:

Aly, Fatma;
Zaki, Chahir

Publication type:

Article

Contributed Discussion.

Published in:

Bayesian Analysis, 2025, v. 20, n. 1, p. 300

By:

Urbas, Szymon;
Finucane, Kate;
Gormley, Isobel Claire;
Murphy, Keefe

Publication type:

Article

Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes.

Published in:

Oxford Bulletin of Economics & Statistics, 2025, v. 87, n. 3, p. 659, doi. 10.1111/obes.12647

By:

Angelini, Francesco;
Castellani, Massimiliano;
Giannerini, Simone;
Goracci, Greta

Publication type:

Article

THE SPILLOVER AND LEVERAGE EFFECTS OF EQUITY EXCHANGE-TRADED NOTES (ETN<sub>S</sub>).

Published in:

Global Economy Journal, 2019, v. 19, n. 3, p. N.PAG, doi. 10.1142/S2194565919500131

By:

CHEN, JO-HUI;
DIAZ, JOHN FRANCIS

Publication type:

Article

Do Tax Havens Really Flourish?

Published in:

Global Economy Journal, 2012, v. 12, n. 3, p. -1, doi. 10.1515/1524-5861.1850

By:

Blanco, Luisa R.;
Rogers, Cynthia L.

Publication type:

Article

Comment on "Forbidden Knowledge and Specialized Training: A Versatile Solution for the Two Main Sources of Overfitting in Linear Regression," by Rohlfs (2023).

Published in:

American Statistician, 2024, v. 78, n. 1, p. 131, doi. 10.1080/00031305.2023.2277156

By:

Christensen, Ronald

Publication type:

Article

Testing for Serial Independence: Beyond the Portmanteau Approach.

Published in:

American Statistician, 2018, v. 72, n. 3, p. 219, doi. 10.1080/00031305.2016.1264314

By:

Bagnato, Luca;
De Capitani, Lucio;
Punzo, Antonio

Publication type:

Article

GLOBAL OIL PRICES, OIL INDUSTRY AND EQUITY RETURNS: RUSSIAN EXPERIENCE.

Published in:

Scottish Journal of Political Economy, 2010, v. 57, n. 2, p. 169, doi. 10.1111/j.1467-9485.2010.00512.x

By:

Bhar, Ramaprasad;
Nikolova, Biljana

Publication type:

Article

In search of time-varying term premia in the London interbank market.

Published in:

Scottish Journal of Political Economy, 1995, v. 42, n. 2, p. 152

By:

Hurn, A. S.;
McDonald, A. D.

Publication type:

Article

VECTOR AUTOGRESSIVE TESTS OF UNCOVERED INTEREST RATE PARITY WITH ALLOWANCE FOR CONDITIONAL HETEROSCEDASTICITY.

Published in:

Scottish Journal of Political Economy, 1989, v. 36, n. 2, p. 238, doi. 10.1111/j.1467-9485.1989.tb01090.x

By:

Taylor, Mark P.

Publication type:

Article

A MONTE CARLO INVESTIGATION OF THE BOX-COX MODEL AND A NONLINEAR LEAST SQUARES ALTERNATIVE.

Published in:

Review of Economics & Statistics, 1994, v. 76, n. 3, p. 560, doi. 10.2307/2109980

By:

Showalter, Mark H.

Publication type:

Article

TESTING FOR SERIAL CORRELATION BY VARIABLE ADDITION IN DYNAMIC MODELS ESTIMATED BY INSTRUMENTAL VARIABLES.

Published in:

Review of Economics & Statistics, 1994, v. 76, n. 3, p. 550, doi. 10.2307/2109979

By:

Godfrey, L. G.

Publication type:

Article

INFORMATION-INDUCED HETEROSCEDASTICITY IN PRICE EXPECTATIONS DATA.

Published in:

Review of Economics & Statistics, 1990, v. 72, n. 2, p. 304, doi. 10.2307/2109720

By:

Fishe, Raymond P. H.;
Idson, Todd L.

Publication type:

Article

SOCIOPOLITICAL INSTABILITY AND THE BEHAVIOR OF SAVINGS IN LESS-DEVELOPED COUNTRIES.

Published in:

Review of Economics & Statistics, 1985, v. 67, n. 4, p. 557, doi. 10.2307/1924799

By:

Stewart, Douglas B.;
Venieris, Yiannis P.

Publication type:

Article

SPECIFICATION ERROR IN PROBIT MODELS.

Published in:

Review of Economics & Statistics, 1985, v. 67, n. 1, p. 134, doi. 10.2307/1928444

By:

Yatchew, Adonis;
Griliches, Zvi

Publication type:

Article

BOX-COX ESTIMATION WITH STANDARD ECONOMETRIC PROBLEMS.

Published in:

Review of Economics & Statistics, 1983, v. 65, n. 1, p. 160, doi. 10.2307/1924424

By:

Seaks, Terry G.;
Layson, Stephen K.

Publication type:

Article

MISSPECIFICATION, HETEROSCEDASTICITY, AND THE CHOW AND GOLDFELD-QUANDT TESTS.

Published in:

Review of Economics & Statistics, 1982, v. 64, n. 2, p. 314, doi. 10.2307/1924311

By:

Thursby, Jerry G.

Publication type:

Article

THE DETERMINANTS OF EXECUTIVE SALARIES: AN ECONOMETRIC SURVEY.

Published in:

Review of Economics & Statistics, 1980, v. 62, n. 1, p. 7, doi. 10.2307/1924267

By:

Ciscel, David H.;
Carroll, Thomas M.

Publication type:

Article

ESTIMATION OF ELASTICITY OF SUBSTITUTION IN AMERICAN MANUFACTURING INDUSTRY FROM POOLED CROSS-SECTION AND TIME-SERIES OBSERVATIONS.

Published in:

Review of Economics & Statistics, 1974, v. 56, n. 3, p. 343, doi. 10.2307/1923972

By:

Blair, Roger D.;
Kraft, John

Publication type:

Article

Inference with Many Weak Instruments.

Published in:

Review of Economic Studies, 2022, v. 89, n. 5, p. 2663, doi. 10.1093/restud/rdab097

By:

Mikusheva, Anna;
Sun, Liyang

Publication type:

Article

Identifying Shocks via Time-Varying Volatility.

Published in:

Review of Economic Studies, 2021, v. 88, n. 6, p. 3086, doi. 10.1093/restud/rdab009

By:

Lewis, Daniel J

Publication type:

Article

Efficient Tests for General Persistent Time Variation in Regression Coefficients.

Published in:

Review of Economic Studies, 2006, v. 73, n. 4, p. 907, doi. 10.1111/j.1467-937X.2006.00402.x

By:

ELLIOTT, GRAHAM;
MÜLLER, ULRICH K.

Publication type:

Article

Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form.

Published in:

Review of Economic Studies, 2005, v. 72, n. 2, p. 499, doi. 10.1111/j.1467-937X.2005.00341.x

By:

Yongmiao Hong;
Yoon-Jin Lee

Publication type:

Article

Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis.

Published in:

Review of Economic Studies, 1993, v. 60, n. 1, p. 229, doi. 10.2307/2297820

By:

Bera, Anil K.;
Lee, Sangkyu

Publication type:

Article

Sparse sufficient dimension reduction with heteroscedasticity.

Published in:

International Journal of Wavelets, Multiresolution & Information Processing, 2022, v. 20, n. 1, p. 1, doi. 10.1142/S0219691321500375

By:

Cheng, Haoyang;
Cui, Wenquan

Publication type:

Article

On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity.

Published in:

Asia-Pacific Financial Markets, 2007, v. 14, n. 3, p. 255, doi. 10.1007/s10690-007-9062-9

By:

Tak Kue Siu;
Lau, John W.;
Hailiang Yang

Publication type:

Article

The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997.

Published in:

Asia-Pacific Financial Markets, 2005, v. 12, n. 3, p. 245, doi. 10.1007/s10690-006-9024-7

By:

Kim, J.;
Kartsaklas, A.;
Karanasos, M.

Publication type:

Article

Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility.

Published in:

Asia-Pacific Financial Markets, 2005, v. 12, n. 3, p. 199, doi. 10.1007/s10690-006-9023-8

By:

McMillan, David;
Speight, Alan

Publication type:

Article

Test for conditional quantile change in general conditional heteroscedastic time series models.

Published in:

Annals of the Institute of Statistical Mathematics, 2024, v. 76, n. 2, p. 333, doi. 10.1007/s10463-023-00889-z

By:

Lee, Sangyeol;
Kim, Chang Kyeom

Publication type:

Article

Modified residual CUSUM test for location-scale time series models with heteroscedasticity.

Published in:

Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 5, p. 1059, doi. 10.1007/s10463-018-0679-4

By:

Oh, Haejune;
Lee, Sangyeol

Publication type:

Article

Test for tail index constancy of GARCH innovations based on conditional volatility.

Published in:

Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 4, p. 947, doi. 10.1007/s10463-018-0669-6

By:

Kim, Moosup;
Lee, Sangyeol

Publication type:

Article

Penalized expectile regression: an alternative to penalized quantile regression.

Published in:

Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 2, p. 409, doi. 10.1007/s10463-018-0645-1

By:

Liao, Lina;
Park, Cheolwoo;
Choi, Hosik

Publication type:

Article

Semiparametric efficient estimators in heteroscedastic error models.

Published in:

Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 1, p. 1, doi. 10.1007/s10463-017-0622-0

By:

Kim, Mijeong;
Ma, Yanyuan

Publication type:

Article

A generalized partially linear framework for variance functions.

Published in:

Annals of the Institute of Statistical Mathematics, 2018, v. 70, n. 5, p. 1147, doi. 10.1007/s10463-017-0619-8

By:

Fang, Yixin;
Lian, Heng;
Liang, Hua

Publication type:

Article

A constructive hypothesis test for the single-index models with two groups.

Published in:

Annals of the Institute of Statistical Mathematics, 2018, v. 70, n. 5, p. 1077, doi. 10.1007/s10463-017-0616-y

By:

Zhang, Jun;
Feng, Zhenghui;
Wang, Xiaoguang

Publication type:

Article

Decision-theoretic issues in heterogeneity variance estimation.

Published in:

Annals of the Institute of Statistical Mathematics, 2016, v. 68, n. 3, p. 571, doi. 10.1007/s10463-015-0505-1

By:

Rukhin, Andrew

Publication type:

Article

On the tail index inference for heavy-tailed GARCH-type innovations.

Published in:

Annals of the Institute of Statistical Mathematics, 2016, v. 68, n. 2, p. 237, doi. 10.1007/s10463-014-0495-4

By:

Kim, Moosup;
Lee, Sangyeol

Publication type:

Article

The efficiency of the second-order nonlinear least squares estimator and its extension.

Published in:

Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 4, p. 751, doi. 10.1007/s10463-011-0332-y

By:

Kim, Mijeong;
Ma, Yanyuan

Publication type:

Article

Modelling time trend via spline confidence band.

Published in:

Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 2, p. 275, doi. 10.1007/s10463-010-0311-8

By:

Wang, Jing

Publication type:

Article

A modified two-factor multivariate analysis of variance: asymptotics and small sample approximations.

Published in:

Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 1, p. 135, doi. 10.1007/s10463-010-0299-0

By:

Harrar, Solomon;
Bathke, Arne

Publication type:

Article

Density Estimation with Replicate Heteroscedastic Measurements.

Published in:

Annals of the Institute of Statistical Mathematics, 2011, v. 63, n. 1, p. 81, doi. 10.1007/s10463-009-0220-x

By:

McIntyre, Julie;
Stefanski, Leonard

Publication type:

Article

On the estimation of a monotone conditional variance in nonparametric regression.

Published in:

Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 1, p. 111, doi. 10.1007/s10463-007-0126-4

By:

Dette, Holger;
Pilz, Kay

Publication type:

Article

Modelling the limit of detection in real-time quantitative PCR.

Published in:

European Food Research & Technology, 2008, v. 226, n. 6, p. 1513, doi. 10.1007/s00217-007-0683-z

By:

M. Burns;
H. Valdivia

Publication type:

Article

An Ensemble System Based on Hybrid EGARCH-ANN with Different Distributional Assumptions to Predict S&P 500 Intraday Volatility.

Published in:

Fluctuation & Noise Letters, 2015, v. 14, n. 1, p. -1, doi. 10.1142/S0219477515500017

By:

Lahmiri, S.;
Boukadoum, M.

Publication type:

Article

Analysis of the Effect of Non-Performing Loan, Return on Assets, Return on Equity and Size on Banking Liquidity Risk.

Published in:

JDM: Jurnal Dinamika Manajemen, 2022, v. 13, n. 1, p. 78, doi. 10.15294/jdm.v13i1.33253

By:

Widyarti, Endang Tri;
Widyakto, Adhi;
Suhardjo, Yohanes

Publication type:

Article

Data-Mining Homogeneous Subgroups in Multiple Regression When Heteroscedasticity, Multicollinearity, and Missing Variables Confound Predictor Effects.

Published in:

Advances in Data Science & Adaptive Analysis, 2020, v. 12, n. 2, p. N.PAG, doi. 10.1142/S2424922X20410041

By:

Francoeur, Richard B.

Publication type:

Article

The Odd Log-Logistic Geometric Normal Regression Model with Applications.

Published in:

Advances in Data Science & Adaptive Analysis, 2019, v. 11, n. 1/2, p. N.PAG, doi. 10.1142/S2424922X19500037

By:

Prataviera, Fábio;
Cordeiro, Gauss M.;
Ortega, Edwin M. M.;
Suzuki, Adriano K.

Publication type:

Article