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Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger. (Bank of Canada working paper ; 2001-2)

Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger. (Bank of Canada working paper ; 2001-2)
Paper図書
Bank of Canada2001.<DA49-A159>
National Diet Library
  • Subject HeadingHeteroscedasticity. Time-series analysis.

ARCH : selected readings / edited by Robert F. Engle. (Advanced texts in econometrics)

ARCH : selected readings / edited by Robert F. Engle. (Advanced texts in econometrics)
Paper図書
Oxford University Pressc1995.<DA49-B17>
National Diet LibraryOther Libraries in Japan
  • Subject HeadingEconometric models. Heteroscedasticity.

Statistical inference in multifractal random walk models for financial time series

Statistical inference in multifractal random walk models for financial time series
Paper図書
Cristina SattarhoffP. Langc2011
Other Libraries in Japan
  • Subject HeadingTime-series analysis Heteroscedasticity
  • Subject Heading (ID)Time-series analysis Heteroscedasticity

不動産の属性に対する価格と賃料の弾力性等の違いに関する研究

不動産の属性に対する価格と賃料の弾力性等の違いに関する研究
Digital博士論文障害者向け資料あり
麻, 剣英2017-03-15
National Diet Library
  • Subject Heading...ent elasticity Heteroscedasticity significant difference test

Binary and Ordered Response Models in Randomized Experiments: Applications of the Resampling-Based Maximum Likelihood Method

Binary and Ordered Response Models in Randomized Experiments: Applications of the Resampling-Based Maximum Likelihood Method
Digital文書・図像類
伊藤, 高弘神戸大学大学院国際協力研究科2024-01GSICS Working Paper Series42p.1-22
Available onlineOther Libraries in Japan

Estimation in conditionally heteroscedastic time series models

Estimation in conditionally heteroscedastic time series models
Paper図書
Daniel StraumannSpringerc2005
Other Libraries in Japan
  • Subject HeadingParameter estimation Time-series analysis Heteroscedasticity Econometrics
  • Subject Heading (ID)Parameter estimation Time-series analysis Heteroscedasticity Econometrics

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
Digital文書・図像類
CHAN, Joshua, DOUCET, Arnaud, Leon-Gonzalez, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2020-09-04GRIPS Discussion Papers20-09
Other Libraries in Japan
  • Summary, etc....that eliminate heteroscedasticity; a property known as co-heteroscedasticity. The heterosce......ng testable co-heteroscedasticity restrictions, ......vidence for co-heteroscedasticity and that the new method compa...
  • Subject Heading...icle Filter Co-heteroscedasticity state-space reparameterizatio...

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Multivariate Stochastic Volatility with Co-Heteroscedasticity
Digital文書・図像類
CHAN, Joshua, DOUCET, Arnaud, LEON-GONZALEZ, Roberto, STRACHAN, Rodney W.GRIPS Policy Research Center2018-10-11GRIPS Discussion PapersDP18-12
Other Libraries in Japan
  • Summary, etc....that eliminate heteroscedasticity. That is, thes......rty we call co-heteroscedasticity. The heterosce......vidence for co-heteroscedasticity and, in the second applicatio...
  • Subject Heading...icle Filter Co-heteroscedasticity state-space reparameterizatio...

State-space models with regime switching : classical and Gibbs-sampling approaches with applications : hc

State-space models with regime switching : classical and Gibbs-sampling approaches with applications : hc
Paper図書
Chang-Jin Kim and Charles R. NelsonMIT Pressc1999
Other Libraries in Japan
  • Subject Heading...-space methods Heteroscedasticity Sampling (Statistics) Econome...
  • Subject Heading (ID)...-space methods Heteroscedasticity Sampling (Statistics) Econome...

ARCH : selected readings : hbk : pbk

ARCH : selected readings : hbk : pbk
Paper図書
edited by Robert F. EngleOxford University Press1995
Other Libraries in Japan
  • Subject HeadingEconometric models Heteroscedasticity
  • Subject Heading (ID)Econometric models Heteroscedasticity
  • Alternative TitleAuto-regressive conditional heteroskedasticity Autoregressive conditional heteroscedasticity

An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity

An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity
Paper文書・図像類
Kunitomo, Naoto, Akashi, Kentaro日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-780
Other Libraries in Japan
  • Subject Heading...ion Individual Heteroscedasticity AOM-LIML Estimation Forward-f...

Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity

Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity
Paper文書・図像類
Kunitomo, Naoto, Yukitoshi, Matsushita日本経済国際共同センター2008-09Discussion paper series. CIRJE-FCIRJE-F-588
Other Libraries in Japan
  • Subject Heading...nts Persistent Heteroscedasticity

Improving the LIML Estimation with Many Instruments and Persistent Heteroscedasticity

Improving the LIML Estimation with Many Instruments and Persistent Heteroscedasticity
Paper文書・図像類
Kunitomo, Naoto日本経済国際共同センター2008-07Discussion paper series. CIRJE-FCIRJE-F-576
Other Libraries in Japan
  • Subject Heading...nts Persistent Heteroscedasticity MLIML JLIML GLIML Asymptotic ...

The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations

The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations
Paper文書・図像類
Akashi, Kentaro, Kunitomo, Naoto日本経済国際共同センター2010-01Discussion paper series. CIRJE-FCIRJE-F-708
Other Libraries in Japan
  • Subject Heading...ity Individual Heteroscedasticity

Simultaneity and conditional heteroscedasticity in the volume-price-information relationship in equity markets

Simultaneity and conditional heteroscedasticity in the volume-price-information relationship in equity markets
Microform図書
Nainar, S. M. KhalidUMI1989
Other Libraries in Japan
  • Subject HeadingHeteroscedasticity Econometrics Stock exchanges
  • Subject Heading (ID)Heteroscedasticity Econometrics Stock exchanges

Schätzung bei Heteroskedastizität

Schätzung bei Heteroskedastizität
Paper図書
von Rolf WiegertJ.C.B. Mohr1980
Other Libraries in Japan
  • Subject HeadingHeteroscedasticity Estimation theory
  • Subject Heading (ID)Heteroscedasticity Estimation theory

不動産の属性に対する価格と賃料の弾力性等の違いに関する研究

不動産の属性に対する価格と賃料の弾力性等の違いに関する研究
Digital博士論文
麻, 剣英
Available onlineOther Libraries in Japan
  • Subject Heading...ent elasticity Heteroscedasticity significant difference test

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