کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140953 956751 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Three-factor profile analysis with GARCH innovations
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Three-factor profile analysis with GARCH innovations
چکیده انگلیسی

The technique of ANOVA has been widely used in economics and finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by relaxing the assumption of independence in time. We further relax the assumption of homoskedasticity in the traditional profile analysis by introducing GARCH innovations in our proposed profile analysis that allows for both autoregressive and moving average components in the heteroskedastic variance to display a high degree of persistence. We reprise the model with regards to the issue of American depository receipts by relaxing the time-dependence assumption that has been ignored in the literature. Applying our model, we find that the returns from the stocks and the American depository receipts are time-dependent and hence the traditional ANOVA cannot fully explore the time effect from the data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 77, Issue 1, 15 February 2008, Pages 1–8
نویسندگان
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