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A test of conditional heteroscedasticity in time series

✍ Scribed by Min Chen; Hongzhi An


Book ID
105637226
Publisher
SP Science China Press
Year
1999
Tongue
English
Weight
480 KB
Volume
42
Category
Article
ISSN
1674-7283

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Single-season heteroscedasticity in time
✍ Yorghos Tripodis; Jeremy Penzer πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 206 KB

## Abstract We consider seasonal time series in which one season has variance that is different from all the others. This behaviour is evident in indices of production where variability is highest for the month with the lowest level of production. We show that when one season has different variabil