Search Results - subject:"HETEROSKEDASTICITY"

A long short-term memory enhanced realized conditional heteroskedasticity model

Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10

Persistent link: https://www.econbiz.de/10015192384

The volatility spillover of global oil price uncertainty

Pícha, Kamil; Tichá, Lucie; Chuponov, Sanat; Ataev, Jasur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 619-624

Persistent link: https://www.econbiz.de/10014533486

Interplay of volatility and geopolitical tensions in clean energy markets : a comprehensive GARC-ISTM forecasting approach

Brik, Hatem; Ouakdi, Jihene El - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 4, pp. 92-107

Persistent link: https://www.econbiz.de/10014634872

Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning

Syuhada, Kreshna; Tjahjono, Venansius; Hakim, Arief - In: Risks : open access journal 11 (2023) 2, pp. 1-25

Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...

Persistent link: https://www.econbiz.de/10014234332

Improved inference in financial factor models

Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM … and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to … conditional heteroskedasticity is pronounced and that WLS and ALS can dramatically shorten confidence intervals compared to OLS …

Persistent link: https://www.econbiz.de/10014232090

Heteroskedastic structural vector autoregressions identified via long-run restrictions

Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is …

Persistent link: https://www.econbiz.de/10015207512

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10014465380

Testing the correct specification of a system of spatial dependence models for stock returns

Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103

Persistent link: https://www.econbiz.de/10014520115

Partial identification of heteroskedastic structural VARs : theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions …

Persistent link: https://www.econbiz.de/10014528602

OLS limit theory for drifting sequences of parameters on the explosive side of unity

Magdalinos, Tassos; Petrova, Katerina - 2024

A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn → ρ ∈ (-∞, -1] ∪ [1, ∞) and n (|ρn| -1) → ∞. Drifting sequences of innovations and...

Persistent link: https://www.econbiz.de/10015051928