点击上方“Deephub Imba”,关注公众号,好文章不错过 !时间序列中非恒定方差的检测与处理，如果一个时间序列的方差随时间变化，那么它就是异方差的 ...

This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a ...

Heteroskedasticity often arises in two forms: conditional and unconditional. Conditional heteroskedasticity identifies nonconstant volatility related to prior period's (e.g., daily) volatility.

Autoregressive conditional heteroskedasticity (ARCH) models measure volatility and forecast it into the future. ARCH models are dynamic, meaning they respond to changes in the data. ARCH models ...

This is the sixth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...

Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A ...

Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no.