JSTOR Daily

Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some ...

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

Estimation of the Conditional Variance in Paired Experiments

Annales d'Économie et de Statistique, No. 91/92, Econometric Evaluation of Public Policies: Methods and Applications (JULY - DECEMBER 2008), pp. 175-187 (13 pages) In paired randomized experiments ...
Simon Fraser University

Predicted Values

The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases ...
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 ...
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 ...
Nature

The genetic variance for multiple linked quantitative trait loci conditional on marker ...

In the prediction of genetic values and quantitative trait loci (QTLs) mapping via the mixed model method incorporating marker information in animal populations, it is important to model the genetic ...