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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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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
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Testing for serial correlation in the presence of conditional heteroskedasticity
Silvapulle, Paramsothy; Evans, Merran - 1993
Persistent link: https://www.econbiz.de/10000142833
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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
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Distribution of rankings for groups exhibiting heteroscedasticity and correlation
Gilbert, Scott - In: Journal of the American Statistical Association : JASA 98 (2003) 461, pp. 147-157
Persistent link: https://www.econbiz.de/10001754640
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Testing for serial correlation in the presence of conditional heteroskedasticity
Silvapulle, Paramsothy; Evans, Merran - 1993
Persistent link: https://www.econbiz.de/10000878855
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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The heteroskedasticity-consistent covariance estimator in accounting
Curto, José Dias; Pinto, José Castro; Morais, Ana Isabel - In: Review of quantitative finance and accounting 37 (2011) 4, pp. 427-449
Persistent link: https://www.econbiz.de/10009504945
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Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
Vogelsang, Timothy J. - In: Journal of econometrics 166 (2012) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10009511326