Quantifying heteroskedasticity metrics


Autoria(s): HASSAN, MARWA HASSAN ALY
Contribuinte(s)

Nahavandi Saeid

Creighton Douglas

Hossny Mohammed

Data(s)

01/11/2016

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

http://hdl.handle.net/10536/DRO/DU:30089384

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