Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique Threshold autoregressive models are widely used in time-series applications. When building or using such a model, it is ...
One of the key assumptions of the ordinary regression model is that the errors have the same variance throughout the sample. This is also called the homoscedasticity ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
Doss, Charles R., and Edward McFowland III. "Nonparametric Subset Scanning for Detection of Heteroscedasticity." Journal of Computational and Graphical Statistics 31, no. 3 (2022): 813–823.
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The SPEC option performs a model specification test. The null hypothesis for this test maintains that the errors are homoscedastic, independent of the regressors and that several technical assumptions ...
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