Search Results - subject:"Heteroscedastic errors"

Univariate and multivariate claims reserving with generalized link ratios

Portugal, Luís; Pantelous, Athanasios A.; Verrall, Richard - In: Insurance / Mathematics & economics 97 (2021), pp. 57-67

Persistent link: https://www.econbiz.de/10012491961

Model averaging for prediction with fragmentary data

Fang, Fang; Lan, Wei; Tong, Jingjing; Shao, Jun - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 517-527

Persistent link: https://www.econbiz.de/10012178193

Testing instantaneous causality in presence of nonconstant unconditional covariance

Gianetto, Quentin Giai; Rai͏̈ssi, Hamdi - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 46-53

Persistent link: https://www.econbiz.de/10011389673

Corrected portmanteau tests for VAR models with time-varying variance

Patilea, V.; Raïssi, H. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 190-207

The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is …

Persistent link: https://www.econbiz.de/10011042039

Heteroscedasticity-robust C p model averaging

Liu, Qingfeng; Okui, Ryo - In: The econometrics journal 16 (2013) 3, pp. 463-472

Persistent link: https://www.econbiz.de/10010253631

Forecast Intervals in ARCH Exponential Smoothing

BROZE, Laurence; MELARD, Guy; SCAILLET, Olivier - Center for Operations Research and Econometrics (CORE), … - 1994

Exponential smoothing (ES) with ARCH (autoregressive conditionally heteroscedastic) and GARCH (generalized ARCH) errors are introduced. This is done for a large class of ES methods, those for which the forecasts are obtained using a set of additive updating formulas, and also those for which an...

Persistent link: https://www.econbiz.de/10005043466