Selecting the Appropriate Generalized Conditional Heteroscedastic Model for the Daily IMKB Index Returns

SSRN Electronic Journal ◽

10.2139/ssrn.255595 ◽

2001 ◽

Author(s):

Aziz Kutlar ◽

Ekrem Donek

Keyword(s):

Heteroscedastic Model

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Volatility spillover among prices of crude oil, natural gas, exchange rate, gold, and stock market: Fresh evidence from exponential generalized autoregressive conditional heteroscedastic model analysis

Journal of Public Affairs ◽

10.1002/pa.2594 ◽

2021 ◽

Author(s):

Suresh Kumar ◽

Gurcharan Singh ◽

Ankit Kumar

Keyword(s):

Exchange Rate ◽

Gas Exchange ◽

Natural Gas ◽

Stock Market ◽

Crude Oil ◽

Model Analysis ◽

Volatility Spillover ◽

Gas Exchange Rate ◽

Heteroscedastic Model

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A generalized conditional heteroscedastic model for temperature downscaling

Climate Dynamics ◽

10.1007/s00382-014-2076-x ◽

2014 ◽

Vol 43 (9-10) ◽

pp. 2629-2649 ◽

Author(s):

R. Modarres ◽

T. B. M. J. Ouarda

Keyword(s):

Heteroscedastic Model ◽

Temperature Downscaling

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Asymptotic normality of variance estimator in a heteroscedastic model with dependent errors

Journal of Nonparametric Statistics ◽

10.1080/10485252.2011.552721 ◽

2011 ◽

Vol 23 (2) ◽

pp. 351-365 ◽

Author(s):

Han-Ying Liang ◽

Ya-Mei Liu

Keyword(s):

Asymptotic Normality ◽

Variance Estimator ◽

Heteroscedastic Model

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A note on a posterior approximation in a heteroscedastic model

Economics Letters ◽

10.1016/0165-1765(85)90030-8 ◽

1985 ◽

Vol 19 (3) ◽

pp. 249-252

Author(s):

K. Surekha ◽

W.E. Griffiths

Keyword(s):

Heteroscedastic Model ◽

Posterior Approximation

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Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions

Journal of Economic and Financial Sciences ◽

10.4102/jef.v12i1.475 ◽

2019 ◽

Vol 12 (1) ◽

Author(s):

Retius Chifurira ◽

Knowledge Chinhamu

Keyword(s):

Market Risk ◽

Heavy Tailed Distributions ◽

Asymmetric Power ◽

Auto Regressive ◽

Heteroscedastic Model ◽

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Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: A Bayesian approach

Brazilian Journal of Probability and Statistics ◽

10.1214/19-bjps445 ◽

2019 ◽

Vol 33 (4) ◽

pp. 801-825

Author(s):

Lucas Pereira Lopes ◽

Vicente Garibay Cancho ◽

Francisco Louzada

Keyword(s):

Option Pricing ◽

Bayesian Approach ◽

Neutral Density ◽

Risk Neutral ◽

Heteroscedastic Model ◽

Risk Neutral Density

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A light-tailed conditionally heteroscedastic model with applications to river flows

Journal of Time Series Analysis ◽

10.1111/j.0143-9782.2007.00542.x ◽

2007 ◽

Vol 0 (0) ◽

pp. 070620082916016-??? ◽

Author(s):

Péter Elek ◽

László Márkus

Keyword(s):

River Flows ◽

Heteroscedastic Model

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Asymptotic normality of wavelet estimator in heteroscedastic model with α-mixing errors

Journal of Systems Science and Complexity ◽

10.1007/s11424-010-8354-8 ◽

2010 ◽

Vol 24 (4) ◽

pp. 725-737 ◽

Author(s):

Hanying Liang

Keyword(s):

Asymptotic Normality ◽

Wavelet Estimator ◽

Heteroscedastic Model

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Density deconvolution in a two-level heteroscedastic model with unknown error density

Electronic Journal of Statistics ◽

10.1214/09-ejs444 ◽

2010 ◽

Vol 4 (0) ◽

pp. 36-57 ◽

Author(s):

Alexander Meister ◽

Ulrich Stadtmüller ◽

Christian Wagner

Keyword(s):

Density Deconvolution ◽

Heteroscedastic Model ◽

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Least upper bound for the covariance matrix of a generalized least squares estimator in regression with applications to a seemingly unrelated regression model and a heteroscedastic model

10.1214/aos/1032298283 ◽

1996 ◽

Vol 24 (4) ◽

pp. 1547-1559 ◽

Author(s):

Hiroshi Kurata ◽

Takeaki Kariya

Keyword(s):

Regression Model ◽

Least Squares ◽

Covariance Matrix ◽

Upper Bound ◽

Generalized Least Squares ◽

Seemingly Unrelated Regression ◽

Generalized Least Squares Estimator ◽

Unrelated Regression ◽

Seemingly Unrelated Regression Model ◽

Heteroscedastic Model

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