BibSonomy :: concept  ::

bookmarks

publications

   

• On the distribution and conditional heteroscedasticity in Taiwan stock prices
  Bing-Huei Lin and Shih-Kuo Yeh Journal of Multinational Financial Management10(3-4):367--395Dec2000.
  to Generalized heteroscedasticity (GARCH) autoregressive conditional by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
  Guglielmo Maria Caporale and Nikitas Pittis Economic Modelling13(1):1--14Jan1996.
  to Heteroscedasticity by smicha on Apr 28, 2008, 1:05 PM
  URL | BibTeX 
• Locally most powerful test for testing the equality of variances of two linear models with common regression parameters
  Manzoor Ahmad and Yogendra P. Chaubey Statistics \& Probability Letters11(2):149--153Feb1991.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Some results for robust GM-based estimators in heteroscedastic regression models
  Ana Bianco and Graciela Boente and Julio di Rienzo Journal of Statistical Planning and Inference89(1-2):215--242Aug2000.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Robust estimation in certain heteroscedastic linear models when there are many parameters
  R. J. Carroll Journal of Statistical Planning and Inference7(1):1--12Oct1982.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• A note on levene's tests for equality of variances
  Raymond J. Carroll and Helmut Schneider Statistics \& Probability Letters3(4):191--194Jul1985.
  to heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
  Holger Dette Journal of Statistical Planning and Inference103(1-2):311--329Apr2002.
  to heteroscedasticity for Test by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
  Judith A. Giles and David E. A. Giles Journal of Statistical Planning and Inference50(1):21--35Feb1996.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• A partial score test for difference among heterogeneous populations
  Hong-Dar Isaac Wu Journal of Statistical Planning and Inference137(2):527--537Feb2007.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility
  Michel Normandin and Louis Phaneuf Journal of Monetary Economics51(6):1217--1243Sep2004.
  to heteroscedasticity Conditional by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
  Peter C. B. Phillips and Yixiao Sun and Sainan Jin Journal of Statistical Planning and Inference137(3):985--1023Mar2007.
  to standard consistent error autocorrelation and Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Estimation of multivariate non-linear time series models
  A. Thavaneswaran and Bovas Abraham Journal of Statistical Planning and Inference29(3):351--363Nov1991.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• A diagnostic for heteroscedasticity based on the spearman rank correlation
  Y. Yin and R. J. Carroll Statistics \& Probability Letters10(1):69--76Jun1990.
  to Heteroscedasticity by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
  D. Giannikis and I. D. Vrontos and P. Dellaportas Computational Statistics \& Data Analysis52(3):1549--1571Jan2008.
  to conditional Autoregressive heteroscedasticity by smicha and 1 other person on Apr 23, 2008, 2:55 PM
  URL | BibTeX 
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
  T. K. Mak and H. Wong and W. K. Li Computational Statistics \& Data Analysis24(2):169--178Apr1997.
  to Autoregressive heteroscedasticity conditional by smicha on Apr 23, 2008, 2:55 PM
  URL | BibTeX 
• Confidence intervals for the slope of a regression line when the error term has nonconstant variance
  Rand R. Wilcox Computational Statistics \& Data Analysis22(1):89--98Jun1996.
  to Heteroscedasticity by smicha on Apr 23, 2008, 2:55 PM
  URL | BibTeX 
• A reliable method of estimating the variance function in immunoassay
  W. A. Sadler and M. H. Smith Computational Statistics \& Data AnalysisMay1985.
  to Heteroscedasticity by smicha on Apr 23, 2008, 2:55 PM
  URL | BibTeX 
• Nonlinear least squares and maximum likelihood estimation of a heteroscedastic regression model
  V. V. Anh Stochastic Processes and their Applications29(2):317--333Sep1988.
  to heteroscedasticity by smicha on Apr 22, 2008, 2:25 PM
  URL | BibTeX 
• Asymmetric impacts of global risk appetite on the risk premium for an emerging market
  Ibrahim Burak KanlI Physica A: Statistical Mechanics and its Applications387(13):3218--3226May2008.
  to models Conditional heteroscedasticity by smicha on Apr 22, 2008, 10:36 AM
  URL | BibTeX 
• Present value model, heteroscedasticity and parameter stability tests
  Jack Strauss and Taner Yigit Economics Letters73(3):375--378Dec2001.
  to Heteroscedasticity by smicha on Apr 21, 2008, 10:09 PM
  URL | BibTeX