In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

This article was published 18/02/2022 (1592 days ago), so information in it may no longer be current. The RM of West St. Paul council held a regular planning meeting on Feb. 10. A variance was ...

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 ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...