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Search: subject_exact:"Heteroscedasticity"
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Volatility
Theorie
Heteroscedasticity
37
Heteroskedastizität
37
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23
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13
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13
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9
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2
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11
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1
How reliable are bootstrap-based heteroskedasticity robust tests?
Pötscher, Benedikt M.
;
Preinerstorfer, David
- In:
Econometric theory
39
(
2023
)
4
,
pp. 789-847
Persistent link: https://www.econbiz.de/10014342265
Saved in:
2
Continuously updated indirect inference in heteroskedastic spatial models
Kyriacou, Maria
;
Phillips, Peter C. B.
;
Rossi, Francesca
- In:
Econometric theory
39
(
2023
)
1
,
pp. 107-145
Persistent link: https://www.econbiz.de/10014247296
Saved in:
3
Determining the cointegration rank in heteroskedastic VAR models of unknown order
Cavaliere, Giuseppe
;
De Angelis, Luca
;
Rahbek, Anders
; …
- In:
Econometric theory
34
(
2018
)
2
,
pp. 349-382
Persistent link: https://www.econbiz.de/10011950959
Saved in:
4
Adaptive long memory testing under heteroskedasticity
Harris, David
;
Kew, Hsein
- In:
Econometric theory
33
(
2017
)
3
,
pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
Saved in:
5
On size and power of heteroskedasticity and autocorrelation robust tests
Preinerstorfer, David
;
Pötscher, Benedikt M.
- In:
Econometric theory
32
(
2016
)
2
,
pp. 261-358
Persistent link: https://www.econbiz.de/10011578481
Saved in:
6
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun
;
Ullah, Aman
- In:
Econometric theory
29
(
2013
)
1
,
pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
Saved in:
7
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
8
Cointegration rank testing under conditional heteroskedasticity
Cavaliere, Guiseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Econometric theory
26
(
2010
)
6
,
pp. 1719-1760
Persistent link: https://www.econbiz.de/10008738343
Saved in:
9
An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
Hong, Yongmiao
;
Lee, Yoon-jin
- In:
Econometric theory
23
(
2007
)
1
,
pp. 106-154
Persistent link: https://www.econbiz.de/10003407425
Saved in:
10
A new asymptotic theory for heteroskedasticity : autocorrelation robust tests
Kiefer, Nicholas Maximilian
;
Vogelsang, Timothy J.
- In:
Econometric theory
21
(
2005
)
6
,
pp. 1130-1164
Persistent link: https://www.econbiz.de/10003193574
Saved in:
11
An extended constant conditional correlation GARCH model and its fourth-moment structure
He, Changli
;
Teräsvirta, Timo
- In:
Econometric theory
20
(
2004
)
5
,
pp. 904-926
Persistent link: https://www.econbiz.de/10002265252
Saved in:
12
A convergent t-statistic in spurious regressions
Sun, Yixiao
- In:
Econometric theory
20
(
2004
)
5
,
pp. 943-962
Persistent link: https://www.econbiz.de/10002265261
Saved in:
13
Generalized empirical likelihood-based model selection criteria for moment condition models
Hong, Han
;
Preston, Bruce
;
Shum, Matthew
- In:
Econometric theory
19
(
2003
)
6
,
pp. 923-943
Persistent link: https://www.econbiz.de/10001818910
Saved in:
14
Semiparametric estimation of a heteroskedastic sample selection model
Chen, Songnian
;
Khan, Shakeeb
- In:
Econometric theory
19
(
2003
)
6
,
pp. 1040-1064
Persistent link: https://www.econbiz.de/10001818962
Saved in:
15
Some limit theory for autocovariances whose order depends on sample size
Harris, David
;
McCabe, Brendan Peter Martin
;
Leybourne, …
- In:
Econometric theory
19
(
2003
)
5
,
pp. 829-864
Persistent link: https://www.econbiz.de/10001802822
Saved in:
16
Asymptotic theory for a vector ARMA-GARCH model
Ling, Shiqing
;
McAleer, Michael
- In:
Econometric theory
19
(
2003
)
2
,
pp. 280-310
Persistent link: https://www.econbiz.de/10001743407
Saved in:
17
Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size
Kiefer, Nicholas Maximilian
;
Vogelsang, Timothy J.
- In:
Econometric theory
18
(
2002
)
6
,
pp. 1350-1366
Persistent link: https://www.econbiz.de/10001716907
Saved in:
18
Asymptotically efficient median regresssion in the presence of heteroskedasticity of unknown form
Zhao, Quanshui
- In:
Econometric theory
17
(
2001
)
4
,
pp. 765-784
Persistent link: https://www.econbiz.de/10001606794
Saved in:
19
A consistent test for conditional heteroskedasticity in time-series regression models
Hsiao, Cheng
;
Li, Qi
- In:
Econometric theory
17
(
2001
)
1
,
pp. 188-221
Persistent link: https://www.econbiz.de/10001556097
Saved in:
20
LM tests in the presence of non-normal error distributions
Furno, Marilena
- In:
Econometric theory
16
(
2000
)
2
,
pp. 249-261
Persistent link: https://www.econbiz.de/10001483372
Saved in:
21
A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators
Jong, Robert M. de
- In:
Econometric theory
16
(
2000
)
2
,
pp. 262-268
Persistent link: https://www.econbiz.de/10001483373
Saved in:
22
Fourth moment structure of the GARCH(p,q) process
He, Changli
;
Teräsvirta, Timo
- In:
Econometric theory
15
(
1999
)
6
,
pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
Saved in:
23
Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels
Robinson, Peter M.
;
Henry, Mark S.
- In:
Econometric theory
15
(
1999
)
3
,
pp. 299-336
Persistent link: https://www.econbiz.de/10001434304
Saved in:
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