Annales d'Économie et de Statistique, No. 91/92, Econometric Evaluation of Public Policies: Methods and Applications (JULY - DECEMBER 2008), pp. 175-187 (13 pages) In paired randomized experiments ...
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 ...
There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
In the prediction of genetic values and quantitative trait loci (QTLs) mapping via the mixed model method incorporating marker information in animal populations, it is important to model the genetic ...
Conditional variance swaps are recent financial innovations that enhance flexibility in volatility trading and risk management. They allow investors to take exposure to future market skew and ...
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