Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent ...
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute ...
Robust inference in time series analysis is concerned with developing statistical methods that remain valid under departures from standard model assumptions, such as the presence of heteroskedasticity ...
Abstract: This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental ...
Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no.
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