Search Results - subject:"Conditional Heteroskedasticity" - EconBiz

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard … invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy …-toimplement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional …

Persistent link: https://www.econbiz.de/10001727625

Combining time-varying and dynamic multi-period optimal hedging models

Haigh, Michael S.; Holt, Matthew T. - In: European review of agricultural economics : ERAE 29 (2002) 4, pp. 471-500

Persistent link: https://www.econbiz.de/10001728193

Measuring oil price volatility

Kuper, Gerard H. (contributor) - 2002

Persistent link: https://www.econbiz.de/10002590652

Multistep predictions from multivariate ARMA-GARCH : models and their value for portfolio management

Hlouskova, Jaroslava (contributor); … - 2002

Persistent link: https://www.econbiz.de/10002601610

Long term forecasts of volatility in the market for crude oil : do futures prices offer any clues?

Brochu, Stephen M. - 2002

Persistent link: https://www.econbiz.de/10001875427

Modeling sequences of long memory positive weakly stationary random variables

Koulikov, Dmitri (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001875715

The impact of macroeconomic and financial variables on market risk : evidence from international equity returns

Patro, Dilip Kumar; Wald, John K.; Wu, Yangru - In: European financial management : the journal of the … 8 (2002) 4, pp. 421-447

Persistent link: https://www.econbiz.de/10001861042

News and dollar exchange rate dynamics

Tivegna, Massimo - In: Rivista italiana degli economisti : the journal of the … 7 (2002) 1, pp. 3-48

Persistent link: https://www.econbiz.de/10003048283

An empirical study of the mixture of time and movements in prices

Ben Sita, Bernard (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001731522

Interventions and exchange rate volatility : a GARCH application for the Bank of Japan

Lanz, Andrés; Paracuelles, Euben - 2002

Persistent link: https://www.econbiz.de/10001732281

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