JSTOR Daily

LOCAL 𝑀-ESTIMATION FOR CONDITIONAL VARIANCE FUNCTION WITH DEPENDENT DATA

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 ...
JSTOR Daily

Semiparametric Estimator of Time Series Conditional Variance

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, ...
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 information in a crossed population

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 ...
Euromoney

Equity volatility: The technicalities of a variance swap

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...