This is a preview. Log in through your library . Abstract This paper tests for the presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral ...
The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases are computed as the actual value ...
Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...
Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Somer G. Anderson is CPA, doctor of ...
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