JSTOR Daily

Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence

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 ...
JSTOR Daily

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach

The existing empirical literature fails to agree on the nature of the intertemporal relation between risk and return. This paper attempts to resolve the issue by estimating a conditional two-factor ...
Harvard Business School

Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market

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 ...
Simon Fraser University

Heteroscedasticity and GARCH Models

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 ...
Risk

Robust conditional variance estimation and value-at-risk

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 ...