Narrow search
Showing 1 - 10 of 33,368
Cover Image
Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …
Persistent link: https://www.econbiz.de/10011862130
Cover Image
Tests of the seasonal unit root hypothesis against heteroscedastic seasonal integration
Taylor, Robert - 1999
Persistent link: https://www.econbiz.de/10001409493
Cover Image
Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
Cover Image
Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
Cover Image
Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011334362
Cover Image
Finite-sample corrected inference for two-step GMM in time series
Hwang, Jungbin; Valdés, Gonzalo - 2020
Persistent link: https://www.econbiz.de/10012214073
Cover Image
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
Catania, Leopoldo; Billé, Anna Gloria - In: Journal of applied econometrics 32 (2017) 6, pp. 1178-1196
Persistent link: https://www.econbiz.de/10011862573
Cover Image
Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542
Persistent link: https://www.econbiz.de/10011893733
Cover Image
Efficient estimation of agricultural time series models with nonnormal dependent variables
Ramírez, Octavio A.; Misra, Sukant K.; Nelson, Jeannie - In: American journal of agricultural economics 85 (2003) 4, pp. 1029-1040
Persistent link: https://www.econbiz.de/10001817251
Cover Image
Tests of the seasonal unit-root hypothesis against heteroscedastic seasonal integration
Taylor, Robert; Smith, Richard J. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 192-207
Persistent link: https://www.econbiz.de/10001568817