Quantifying heteroskedasticity metrics
Contribuinte(s) |
Nahavandi Saeid Creighton Douglas Hossny Mohammed |
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Data(s) |
01/11/2016
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Resumo |
This study proposes a quantification measure for heteroskedasticity in the time series. Two methods are introduced for quantifying heteroskedasticity: Slope of Local Variance Index (SoLVI) and a statistical divergence method using Bhattacharys coefficient. Both measures show reliability in measuring and quantifying heteroskedasticity in comparison to numerical and hypothesis heteroskedasticity tests. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Deakin University, Institute for Intelligent Systems Research and Innovation, GTP Research |
Relação |
http://dro.deakin.edu.au/eserv/DU:30089384/hassan-agreement-2016.pdf http://dro.deakin.edu.au/eserv/DU:30089384/hassan-quantifyingheteroskedastic-2016A.pdf |
Direitos |
The Author. All Rights Reserved |
Palavras-Chave | #heteroskedasticity #Statistics #Mathematics #Financial forecasting |
Tipo |
Thesis |