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A semiparametric model for binary response and continuous outcomes under index heteroscedasticity
Klein, Roger W.; Vella, Francis - In: Journal of applied econometrics 24 (2009) 5, pp. 735-762
Persistent link: https://www.econbiz.de/10003931578
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Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances
Iglesias, Emma M.; Phillips, Garry D. A. - In: Journal of applied econometrics 27 (2012) 3, pp. 474-499
Persistent link: https://www.econbiz.de/10009618601
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Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
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Autoregressive conditional heteroscedasticity in commodity spot prices
Beck, Stacie - In: Journal of applied econometrics 16 (2001) 2, pp. 115-132
Persistent link: https://www.econbiz.de/10001573882
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Conditional heteroscedasticity of exchange rates : further results based on the fractionally integrated approach
Tsui, Albert K.; Ho, Kin-Yip - In: Journal of applied econometrics 19 (2004) 5, pp. 637-642
Persistent link: https://www.econbiz.de/10002342812
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Tests for equal forecast accuracy under heteroskedasticity
Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Journal of applied econometrics 39 (2024) 5, pp. 850-869
Persistent link: https://www.econbiz.de/10015156787
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Conditionally heteroskedastic factor models with skewness and leverage effects
Dovonon, Prosper - In: Journal of applied econometrics 28 (2013) 7, pp. 1110-1137
Persistent link: https://www.econbiz.de/10010351082
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The role of conditional heteroskedasticity in identifying and estimating linear triangular systems, with applications to asset pricing models that include a mismeasured factor
Prono, Todd - In: Journal of applied econometrics 29 (2014) 5, pp. 800-824
Persistent link: https://www.econbiz.de/10010414845
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Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Journal of applied econometrics 29 (2014) 3, pp. 479-496
Persistent link: https://www.econbiz.de/10010414883
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The performance of heteroskedasticity and autocorrelation robust tests : a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model
Ray, Surajit; Savin, N. Eugene - In: Journal of applied econometrics 23 (2008) 1, pp. 91-109
Persistent link: https://www.econbiz.de/10003682851