Search Results - subject:"Time-varying variance"

Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process

Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto - In: Computational management science 19 (2022) 1, pp. 99-132

Persistent link: https://www.econbiz.de/10012817299

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019

Persistent link: https://www.econbiz.de/10012316892

Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions

Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397

Persistent link: https://www.econbiz.de/10012804123

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

Testing for no-cointegration under time-varying variance

Wang, Shaoping; Zhao, Qing; Li, Yanglin - In: Economics letters 182 (2019), pp. 45-49

Persistent link: https://www.econbiz.de/10012122426

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...

Persistent link: https://www.econbiz.de/10010484706