This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of the international crude ...
In this paper we extend the conditional autoregressive range (CARR) model to the asymmetric CARR mixed data sampling (ACARR-MIDAS) model, which takes into consideration volatility asymmetry as well as ...
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 ...
The AUTOREG procedure provides regression analysis and forecasting of linear models with autocorrelated or heteroscedastic errors. The AUTOREG procedure includes the following features: estimation and ...
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