Three-factor profile analysis with GARCH innovations

DOI10.1016/J.MATCOM.2006.12.011zbMATH Open1148.62309OpenAlexW2144481773MaRDI QIDQ2479433FDOQ2479433

Authors: Pui Lam Leung, Wing-Keung Wong 

Publication date: 26 March 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.12.011

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zbMATH Keywords

ANOVAGARCH modeltreatmentprofile analysisMANOVAtime-dependenceAmerican depository receipts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Title not available (Why is that?)
• Profile analysis of several groups
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Handbook of econometrics. Vol. 4

Cited In (2)

• ANOVA method applied to proton exchange membrane fuel cell ageing forecasting using an echo state network
• Multivariate linear and nonlinear causality tests

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