Search Results - subject:"unconditional heteroskedasticity."

Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013

robust to both conditional and unconditional heteroskedasticity of a quite general and unknown form in the shocks. We show …

Persistent link: https://www.econbiz.de/10010368280

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188

Persistent link: https://www.econbiz.de/10011818374

Heteroskedasticity Robust Panel Unit Root tests

Westerlund, Joakim - Deakin University, Faculty of Business and Law, School …

This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross- orrelated, but also unconditionally heteroskedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the...

Persistent link: https://www.econbiz.de/10010741276