Search Results - subject:"HETEROSKEDASTICITY"

ARCH models as diffusion approximations

Nelson, Daniel B. - 1988

Persistent link: https://www.econbiz.de/10000766242

Stationarity and persistence in the GARCH (1,1) model

Nelson, Daniel B. - 1988 - Rev

Persistent link: https://www.econbiz.de/10000766332

Testing for nonlinear dependence in daily foreign exchange rate changes

Hsieh, David A. - 1988

Persistent link: https://www.econbiz.de/10000766355

Quasi-Aitken estimation for heteroskedasticity of unknown form

Cragg, John G. - 1988

Persistent link: https://www.econbiz.de/10000776182

Conditional heteroscedasticity in the market model and efficient estimates of betas

Bera, Anil K. - In: The financial review : the official publication of the … 23 (1988) 2, pp. 201-214

Persistent link: https://www.econbiz.de/10001061436

Volatility and time-varying risk premiums in the stock market

Stenius, Marianne - 1988

Persistent link: https://www.econbiz.de/10000748366

A further class of tests for heteroscedasticity

Evans, Merran A.; King, Maxwell L. - In: Journal of econometrics 37 (1988) 2, pp. 265-276

Persistent link: https://www.econbiz.de/10003543580

The time-varying-parameter model as an alternative to ARCH for modeling changing conditional variance : the case of Lucas hypothesis

Nelson, Charles R. - 1988

Persistent link: https://www.econbiz.de/10013452064

A Program for Box-Cox Transformation in Regression Models with Heteroskedastic and Autoregressive Residuals

Liem, T.C.; Gaudry, M.; Dagenais, M.G. - Département de Sciences Économiques, Université de … - 1987

-Equation Regression Model When the Functional Form of Heteroskedasticity of the Residuals, Which May Also Be Autocorrelated, Is Fully … Parameters Are Estimated, and by a Selected Functional Form of Heteroskedasticity in Which Covariance Matrix of All Parameter …

Persistent link: https://www.econbiz.de/10005729866

The Impact of Social Security Contributions on Savings: an Analysis of Ger German Households by Category Using Flexible Econometric Forms

Blum, U.G.H.; Gaudry, M.J.I. - Département de Sciences Économiques, Université de … - 1987

Issues Include the Functional Form of the Equation, the Presence of Heteroskedasticity in the Residuals As Well As the …

Persistent link: https://www.econbiz.de/10005133186