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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

Testing for serial correlation in the presence of conditional heteroskedasticity

Silvapulle, Paramsothy; Evans, Merran - 1993

Persistent link: https://www.econbiz.de/10000142833

Testing for serial correlation in the presence of conditional heteroskedasticity

Silvapulle, Paramsothy; Evans, Merran - 1993

Persistent link: https://www.econbiz.de/10000878855

Correlation testing in time series, spatial and cross-sectional data

Robinson, Peter M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003401899

Nonparametric HAC Estimation for time series data with missing observations

Datta, Deepa Dhume; Du, Wenxin - 2012

Persistent link: https://www.econbiz.de/10009665294

A fixed-bandwith view of the pre-asymptotic inference for Kernel smooting with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - 2015

Persistent link: https://www.econbiz.de/10011378410

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

Modeling the dynamics of large conditional heteroskedastic covariance matrices

Ahmed, Naeem - 2015

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...

Persistent link: https://www.econbiz.de/10011459899

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

Persistent link: https://www.econbiz.de/10012243279

A self-normalization test for correlation change

Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509218