On a statistical criterion for the heterogeneity of second-order moments

DOI10.3103/S1066369X22080047OpenAlexW4318981923MaRDI QIDQ2688318

S. G. Khaliullin

Publication date: 2 March 2023

Published in: Russian Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066369x22080047

zbMATH Keywords

heteroscedasticityvolatilityconditionally Gaussian models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• RiskMetrics

This page was built for publication: On a statistical criterion for the heterogeneity of second-order moments