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Warianty tytułu
Języki publikacji
Abstrakty
In this report, the problem of testing for a difference between conditional variance fnuctions (or volatilites) of two independent nonlinear time series is investigated by means of an extensive simulation study. Empirical results on the properties of the test proposed confirm the test's validity, at least for some types of heteroscedasticity as contrasted with homnoscedastic erroos as well as for some types of differences in heteooscedasticity. Moreover, interesting properties of several estimators of conditional mean, variance and fourth moment functions are empirically found too.
Czasopismo
Rocznik
Tom
Strony
33--50
Opis fizyczny
Bibliogr. 13 poz.,
Twórcy
autor
autor
autor
- Institute of Computer Science, Polish Academy of Sciences, Ordona 21, 01-237 Warsaw, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BAT2-0001-1752