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There are 19668 results for: content related to: Heteroskedasticity

  1. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances

    Journal of Applied Econometrics

    Volume 27, Issue 3, April/May 2012, Pages: 474–499, Emma M. Iglesias and Garry D. A. Phillips

    Version of Record online : 14 JUL 2010, DOI: 10.1002/jae.1203

  2. ARCH/GARCH Models in Applied Financial Econometrics

    Chapter

    Handbook of Finance

    Robert F. Engle, Sergio M. Focardi and Frank J. Fabozzi

    Published Online : 15 SEP 2008, DOI: 10.1002/9780470404324.hof003060

  3. You have free access to this content
    Bibliography

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.biblio

  4. ARCH/GARCH Models in Applied Financial Econometrics

    Chapter

    Encyclopedia of Financial Models

    Robert F. Engle, Sergio M. Focardi and Frank J. Fabozzi

    Published Online : 15 DEC 2012, DOI: 10.1002/9781118182635.efm0062

  5. You have free access to this content
    BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY-TAILS FOR FINANCIAL TIME SERIES

    The Japanese Economic Review

    Volume 63, Issue 1, March 2012, Pages: 81–103, JOUCHI NAKAJIMA

    Version of Record online : 25 MAY 2011, DOI: 10.1111/j.1468-5876.2011.00537.x

  6. ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

    Journal of Economic Surveys

    Volume 7, Issue 4, December 1993, Pages: 305–366, Anil K. Bera and Matthew L. Higgins

    Version of Record online : 27 OCT 2006, DOI: 10.1111/j.1467-6419.1993.tb00170.x

  7. The role of anthropogenic activities in karst spring discharge volatility

    Hydrological Processes

    Volume 29, Issue 13, 30 June 2015, Pages: 2855–2866, Jing Wu, Jian Yin, Yonghong Hao, Yan Liu, Yonghui Fan, Xueli Huo, Youcun Liu and Tian-Chyi J. Yeh

    Version of Record online : 21 DEC 2014, DOI: 10.1002/hyp.10407

  8. You have full text access to this OnlineOpen article
    Heteroskedasticity as a leading indicator of desertification in spatially explicit data

    Ecology and Evolution

    Volume 5, Issue 11, June 2015, Pages: 2185–2192, David A. Seekell and Vasilis Dakos

    Version of Record online : 8 MAY 2015, DOI: 10.1002/ece3.1510

  9. Testing for linear autoregressive dynamics under heteroskedasticity

    The Econometrics Journal

    Volume 3, Issue 2, December 2000, Pages: 177–197, Christian M. Hafner and Helmut Herwartz

    Version of Record online : 20 MAR 2002, DOI: 10.1111/1368-423X.00045

  10. Conditional Heteroscedastic Models

    Analysis of Financial Time Series, Third Edition, Third Edition

    Ruey S. Tsay, Pages: 109–173, 2010

    Published Online : 2 AUG 2010, DOI: 10.1002/9780470644560.ch3

  11. Autoregressive Conditional Heteroskedastic Models

    Financial Econometrics: From Basics to Advanced Modeling Techniques

    Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo Jasˇic´, Pages: 279–319, 2015

    Published Online : 29 AUG 2015, DOI: 10.1002/9781119201847.ch8

  12. Nonlinear Models for Autoregressive Conditional Heteroskedasticity

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 47–69, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch2

  13. A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models

    Oxford Bulletin of Economics and Statistics

    Volume 77, Issue 1, February 2015, Pages: 106–128, Giuseppe Cavaliere, Luca De Angelis, Anders Rahbek and A. M. Robert Taylor

    Version of Record online : 6 JAN 2015, DOI: 10.1111/obes.12051

  14. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

    International Review of Finance

    Volume 14, Issue 3, September 2014, Pages: 345–392, Ke Yang and Langnan Chen

    Version of Record online : 10 APR 2014, DOI: 10.1111/irfi.12030

  15. CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS

    Journal of Applied Econometrics

    Volume 28, Issue 7, November/December 2013, Pages: 1110–1137, Prosper Dovonon

    Version of Record online : 19 JUN 2012, DOI: 10.1002/jae.2281

  16. A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS

    Journal of Time Series Analysis

    Volume 13, Issue 6, November 1992, Pages: 501–519, A. K. Bera and M. L. Higgins

    Version of Record online : 28 JUN 2008, DOI: 10.1111/j.1467-9892.1992.tb00123.x

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    Instrumental variable estimation with heteroskedasticity and many instruments

    Quantitative Economics

    Volume 3, Issue 2, July 2012, Pages: 211–255, Jerry A. Hausman, Whitney K. Newey, Tiemen Woutersen, John C. Chao and Norman R. Swanson

    Version of Record online : 25 JUL 2012, DOI: 10.3982/QE89

  18. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

    Real Estate Economics

    Volume 42, Issue 2, Summer 2014, Pages: 279–342, Brad Case, Massimo Guidolin and Yildiray Yildirim

    Version of Record online : 31 OCT 2013, DOI: 10.1111/1540-6229.12025

  19. The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models

    The Econometrics Journal

    Volume 1, Issue 2, December 1998, Pages: 1–9, Enrique Sentana

    Version of Record online : 27 JUN 2002, DOI: 10.1111/1368-423X.12014

  20. RE-EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY

    Journal of Financial Research

    Volume 2, Issue 2, Fall 1979, Pages: 111–118, Son-Nan Chen

    Version of Record online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1979.tb00023.x