Browsing by Subject "Heteroskedasticity"

Now showing items 1-3 of 3

    • Article  

      Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns 

      Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, Nikitas (1998)
      This paper analyzes exchange rate returns for five currencies (Danish krone, Dutch guilder, French franc, Swiss franc, and U.S. dollar). As in Caporale and Pittis (1994), and unlike most of the empirical literature on ...
    • Article  

      Model-free model-fitting and predictive distributions 

      Politis, Dimitris Nicolas (2013)
      The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. ...
    • Article  

      Subsampling for heteroskedastic time series 

      Politis, Dimitris Nicolas; Romano, J. P.; Wolf, M. (1997)
      In this article, a general theory for the construction of confidence intervals or regions in the context of heteroskedastic-dependent data is presented. The basic idea is to approximate the sampling distribution of a ...