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10 articles for “Conditional Variance”
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Research ArticleOpen accessIn the keywordsA NOVEL ROBUST AND EFFICIENT TOOL FOR DETECTING HETEROSCEDASTICITYWei Xiong, Maozai TianOne of the greatest values of Quantile Regression (QR) is that it provides a good procedure in the sense that QR could be much more efficient and sometimes arbitrarily more efficient in recovering the mean function than the Least Squares (LS) even when without moment conditions. However, heteroscedasticity definitely causes conditional variances of parametric or nonparametric estimates of mean functions … …Journal of Mathematics and Statistics, Vol. 10, Issue 2 · 21 Mar 2014 · 6,657 accessesView PDFCite
Research ArticleOpen accessIn the keywordsLevel of Non-Matching Primary Transplant Cases According to Repeat Transplants Cases and a New Bivariate Poisson DistributionRamalingam ShanmugamIn their practice, healthcare administrators and professionals often wonder about the non-matching level organs in transplants for the sake of future forecasting. Currently, there is no appropriate methodology to analyze the pertinent transplant data and describe the patterns. The lack of a suitable methodology in the literature originates from an incorrect impression that the primary transplant cases and the repeat … …Current Research in Medicine, Vol. 8, Issue 1 · 10 Jul 2017 · 9,151 accessesView PDFCite
Research ArticleOpen accessIn the keywordsPROBING NON-ADHERENCE TO PRESCRIBED MEDICINES? A BIVARIATE DISTRIBUTION WITH INFORMATION NUCLEUS CLARIFIESRamalingam ShanmugamNo illness gets cured without the patient’s adherence to the prescribed medicine (s). Reasons such as too many medicines, lack of health insurance coverage, high co-payment cost, loss of cognitive memory to take. are commonly noticed for non-adherence. In some illnesses, the patients who do not adhere to the prescribed medicines end up again in hospital. How should the pertinent … …Current Research in Medicine, Vol. 5, Issue 2 · 17 Jul 2014 · 7,223 accessesView PDFCite
Research ArticleOpen accessIn the abstractQuantile Regression Estimation Using Non-Crossing ConstraintsIlaria Lucrezia AmeriseIn this article we are concerned with a collection of multiple linear regressions that enable the researcher to gain an impression of the entire conditional distribution of a response variable given a set of explanatory variables. More specifically, we investigate the advantage of using a new method to estimate a bunch of non-crossing quantile regressions hyperplanes. The main tool is … …Journal of Mathematics and Statistics, Vol. 14, Issue 1 · 15 May 2018 · 7,700 accessesView PDFCite
Research ArticleOpen accessIn the abstractPrice Volatility of Grains: Relationship with Crude Oil Price Using CCC-Multivariate GARCH ModelAreerat Todsadee, Hiroshi Kameyama, Shoichi ItoAgricultural commodities prices have increased and become significantly more volatile during the past few years periods. The high agricultural commodity prices in recent years have raised the question of whether or not volatility is increasing and leading to more frequent extreme price swings. It is very important to quantify price variability of agricultural products. This paper measures the volatility of … …American Journal of Economics and Business Administration, Vol. 6, Issue 4 · 2 Jan 2015 · 6,640 accessesView PDFCite
Research ArticleOpen accessIn the abstractA Study on the Behavior of Volatility in Saudi Arabia Stock Market Using Symmetric and Asymmetric GARCH ModelsAjab Al Freedi, Ahmed Shamiri, Zaidi IsaProblem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence) in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31 March 2009. The sample period is divided into three … …Journal of Mathematics and Statistics, Vol. 8, Issue 1 · 7 Feb 2012 · 7,577 accessesView PDFCite
Research ArticleOpen accessIn the abstractInvestigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for DiversificationGurudeo Anand Tularam, Eduardo Roca, Victor Siew Howe WongProblem statement: Over the last ten years there has been a phenomenal growth in the amount of funds placed in SRI globally estimated to be around US$6.5 trillion while around US$55 billion in the Australian market. Accurate knowledge of correlation of the Australian SRI market with other SRI markets overseas is crucially important for Australian (SRI) investors for international portfolio … …Journal of Mathematics and Statistics, Vol. 6, Issue 4 · 4 Nov 2010 · 16,234 accessesView PDFCite
Research ArticleOpen accessIn the abstractTime Series Analysis of Rainfall and Temperature Interactions in Coastal CatchmentsGurudeo Anand Tularam, Mahbub IlaheeProblem statement: As a result of climate change more work is now being done on climate indices such as SOI, rainfall, temperature and so on. The research concerning rainfall and temperature variations in coastal tropical and subtropical catchments as noted by the dated references in this study shows a lack of attention. The authors examined long term data from coastal … …Journal of Mathematics and Statistics, Vol. 6, Issue 3 · 30 Sep 2010 · 15,823 accessesView PDFCite
Research ArticleOpen accessIn the abstractVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated ApproachChin Wen CheongThis study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical … …American Journal of Applied Sciences, Vol. 5, Issue 6 · 30 Jun 2008 · 6,706 accessesView PDFCite
Research ArticleOpen accessIn the abstractModelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch ModelsFrimpong Joseph Magnus, Oteng-Abayie Eric FosuThis paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) was used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast … …American Journal of Applied Sciences, Vol. 3, Issue 10 · 31 Oct 2006 · 7,551 accessesView PDFCite