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heteroscedasticity
(redirected from Heteroskedastic)

    Also found in: Dictionary/thesaurus, Financial, Wikipedia 0.03 sec.
heteroscedasticity
an irregular scattering of values in a series of distributions; accompanied by a comparable scatter of variances.
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Cross-section weighted estimation is preferred to account for heteroskedastic behavior of high frequency data.
Financial contagion in Asia and Latin America by Chakraborty, Debasish; Cebi, Merve / Indian Journal of Economics and Business
1987: A conditionally heteroskedastic time series model for speculative prices and rates of return.
Impact of derivatives trading on emerging stock markets: some ... by Bhaumik, Sumon Kumar; Bose, Suchismita / Comparative Economic Studies
These models, described as generalized autoregressive conditional heteroskedastic (GARCH), are able to significantly reduce the error term by better quantifying interaction and lag effects among the explanatory variables and time series within the model.
Transforming Army supply chains: an analytical architecture for ... by Parlier, Greg H. / Air Force Journal of Logistics
 
 
 
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