Wang, Joanna J. J.; Chan, Jennifer S. K. Stochastic modelling of volatility and inter-relationships in the Australian electricity markets. (English) Zbl 07739559 Commun. Stat., Simulation Comput. 52, No. 8, 3877-3896 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{J. J. J. Wang} and \textit{J. S. K. Chan}, Commun. Stat., Simulation Comput. 52, No. 8, 3877--3896 (2023; Zbl 07739559) Full Text: DOI
Adamec, Václav; Smith, Eric P. Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances. (English) Zbl 07714535 Commun. Stat., Simulation Comput. 52, No. 6, 2765-2780 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{V. Adamec} and \textit{E. P. Smith}, Commun. Stat., Simulation Comput. 52, No. 6, 2765--2780 (2023; Zbl 07714535) Full Text: DOI
Uyanto, Stanislaus S. Monte Carlo power comparison of seven most commonly used heteroscedasticity tests. (English) Zbl 1524.62332 Commun. Stat., Simulation Comput. 51, No. 4, 2065-2082 (2022). MSC: 62J05 62M07 62P20 PDFBibTeX XMLCite \textit{S. S. Uyanto}, Commun. Stat., Simulation Comput. 51, No. 4, 2065--2082 (2022; Zbl 1524.62332) Full Text: DOI
Gammoudi, Imed; Nani, Asma; El Ghourabi, Mohamed Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications. (English) Zbl 1497.62232 Commun. Stat., Simulation Comput. 50, No. 11, 3338-3363 (2021). MSC: 62M10 62F12 62P05 91G70 PDFBibTeX XMLCite \textit{I. Gammoudi} et al., Commun. Stat., Simulation Comput. 50, No. 11, 3338--3363 (2021; Zbl 1497.62232) Full Text: DOI
Arlt, Josef; Trcka, Peter Automatic SARIMA modeling and forecast accuracy. (English) Zbl 1497.62227 Commun. Stat., Simulation Comput. 50, No. 10, 2949-2970 (2021). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{J. Arlt} and \textit{P. Trcka}, Commun. Stat., Simulation Comput. 50, No. 10, 2949--2970 (2021; Zbl 1497.62227) Full Text: DOI
Mohammadinia, Farideh; Chinipardaz, Rahim Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series. (English) Zbl 07551948 Commun. Stat., Simulation Comput. 48, No. 7, 2191-2209 (2019). MSC: 62-XX PDFBibTeX XMLCite \textit{F. Mohammadinia} and \textit{R. Chinipardaz}, Commun. Stat., Simulation Comput. 48, No. 7, 2191--2209 (2019; Zbl 07551948) Full Text: DOI
Yang, Xinxia; Chatpatanasiri, Ratthachat; Sattayatham, Pairote Value at risk estimation under stochastic volatility models using adaptive PMCMC methods. (English) Zbl 1385.62031 Commun. Stat., Simulation Comput. 46, No. 9, 7221-7237 (2017). MSC: 62P05 62M10 62F15 91G70 PDFBibTeX XMLCite \textit{X. Yang} et al., Commun. Stat., Simulation Comput. 46, No. 9, 7221--7237 (2017; Zbl 1385.62031) Full Text: DOI
Laurini, Márcio Poletti; Hotta, Luiz Koodi GMC/GEL estimation of stochastic volatility models. (English) Zbl 1385.62033 Commun. Stat., Simulation Comput. 46, No. 9, 6828-6844 (2017). MSC: 62P20 62G05 62M10 91B84 PDFBibTeX XMLCite \textit{M. P. Laurini} and \textit{L. K. Hotta}, Commun. Stat., Simulation Comput. 46, No. 9, 6828--6844 (2017; Zbl 1385.62033) Full Text: DOI
Ehlers, Ricardo; Zevallos, M. Bayesian estimation and prediction of stochastic volatility models via INLA. (English) Zbl 1328.62162 Commun. Stat., Simulation Comput. 44, No. 3, 683-693 (2015). MSC: 62F15 62M10 PDFBibTeX XMLCite \textit{R. Ehlers} and \textit{M. Zevallos}, Commun. Stat., Simulation Comput. 44, No. 3, 683--693 (2015; Zbl 1328.62162) Full Text: DOI
Strandberg, Alicia Graziosi; Iglewicz, Boris Detecting randomness: a review of existing tests with new comparisons. (English) Zbl 1291.62097 Commun. Stat., Simulation Comput. 43, No. 5, 1187-1201 (2014). MSC: 62G10 62M10 PDFBibTeX XMLCite \textit{A. G. Strandberg} and \textit{B. Iglewicz}, Commun. Stat., Simulation Comput. 43, No. 5, 1187--1201 (2014; Zbl 1291.62097) Full Text: DOI
Li, Yong; Ni, Zhong-Xin; Lin, Jin-Guan A stochastic simulation approach to model selection for stochastic volatility models. (English) Zbl 1219.62162 Commun. Stat., Simulation Comput. 40, No. 7, 1043-1056 (2011). MSC: 62P05 62F15 91G70 65C60 PDFBibTeX XMLCite \textit{Y. Li} et al., Commun. Stat., Simulation Comput. 40, No. 7, 1043--1056 (2011; Zbl 1219.62162) Full Text: DOI
Rezende dos Santos, Thiago; Franco, Glaura C. Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study. (English) Zbl 1205.62025 Commun. Stat., Simulation Comput. 39, No. 8-10, 1671-1689 (2010). MSC: 62F15 62F40 62M10 65C05 62F25 PDFBibTeX XMLCite \textit{T. Rezende dos Santos} and \textit{G. C. Franco}, Commun. Stat., Simulation Comput. 39, No. 8--10, 1671--1689 (2010; Zbl 1205.62025) Full Text: DOI
Diongue, Abdou Kâ; Guégan, Dominique Estimation of \(k\)-factor GIGARCH process: A Monte Carlo study. (English) Zbl 1153.62355 Commun. Stat., Simulation Comput. 37, No. 10, 2037-2049 (2008). MSC: 62M10 65C05 62M09 62F10 PDFBibTeX XMLCite \textit{A. K. Diongue} and \textit{D. Guégan}, Commun. Stat., Simulation Comput. 37, No. 10, 2037--2049 (2008; Zbl 1153.62355) Full Text: DOI
Shimada, Junji; Tsukuda, Yoshihiko Estimation of stochastic volatility models: an approximation to the nonlinear state space representation. (English) Zbl 1066.62105 Commun. Stat., Simulation Comput. 34, No. 2, 429-450 (2005). MSC: 62P05 62C05 91B28 62M10 91B84 62M20 PDFBibTeX XMLCite \textit{J. Shimada} and \textit{Y. Tsukuda}, Commun. Stat., Simulation Comput. 34, No. 2, 429--450 (2005; Zbl 1066.62105) Full Text: DOI
Huber, John C. Portmanteau test for randomness in Poisson data. (English) Zbl 1008.62671 Commun. Stat., Simulation Comput. 29, No. 4, 1165-1182 (2000). MSC: 62M10 62G10 PDFBibTeX XMLCite \textit{J. C. Huber}, Commun. Stat., Simulation Comput. 29, No. 4, 1165--1182 (2000; Zbl 1008.62671) Full Text: DOI
Lewellen, Ruth H.; Vessey, Stephen H. Analysis of fragmented time series data using Box-Jenkins models. (English) Zbl 0968.62534 Commun. Stat., Simulation Comput. 28, No. 3, 667-685 (1999). MSC: 62M10 62P12 62M20 PDFBibTeX XMLCite \textit{R. H. Lewellen} and \textit{S. H. Vessey}, Commun. Stat., Simulation Comput. 28, No. 3, 667--685 (1999; Zbl 0968.62534) Full Text: DOI
Barbosa, Emanuel Pimentel; Sadownik, Regina A multiplicative seasonal growth model for multivariate time series analysis and forecasting. (English) Zbl 1007.62525 Commun. Stat., Simulation Comput. 28, No. 2, 291-308 (1999). MSC: 62M10 62M20 62L12 PDFBibTeX XMLCite \textit{E. P. Barbosa} and \textit{R. Sadownik}, Commun. Stat., Simulation Comput. 28, No. 2, 291--308 (1999; Zbl 1007.62525) Full Text: DOI
Tanizaki, H. Asymptotically exact confidence intervals of CUSUM and CUSUMSQ tests: A numerical derivation using simulation technique. (English) Zbl 0850.62653 Commun. Stat., Simulation Comput. 24, No. 4, 1019-1036 (1995). MSC: 62M10 62J05 62F25 65C99 PDFBibTeX XMLCite \textit{H. Tanizaki}, Commun. Stat., Simulation Comput. 24, No. 4, 1019--1036 (1995; Zbl 0850.62653) Full Text: DOI
Shaarawy, S. M.; Almahmeed, M. A. Bayesian classification with multivariate autoregressive sources that might have different orders. (English) Zbl 0850.62652 Commun. Stat., Simulation Comput. 24, No. 3, 567-581 (1995). MSC: 62M10 62H30 62F15 PDFBibTeX XMLCite \textit{S. M. Shaarawy} and \textit{M. A. Almahmeed}, Commun. Stat., Simulation Comput. 24, No. 3, 567--581 (1995; Zbl 0850.62652) Full Text: DOI
Cribari-Neto, F.; Ferrari, S. L. P. An improved Lagrange multiplier test for heteroskedasticity. (English) Zbl 0850.62417 Commun. Stat., Simulation Comput. 24, No. 1, 31-44 (1995). MSC: 62H12 62J05 PDFBibTeX XMLCite \textit{F. Cribari-Neto} and \textit{S. L. P. Ferrari}, Commun. Stat., Simulation Comput. 24, No. 1, 31--44 (1995; Zbl 0850.62417) Full Text: DOI
Wolfinger, Russ Covariance structure selection in general mixed models. (English) Zbl 0800.62419 Commun. Stat., Simulation Comput. 22, No. 4, 1079-1106 (1993). MSC: 62J10 PDFBibTeX XMLCite \textit{R. Wolfinger}, Commun. Stat., Simulation Comput. 22, No. 4, 1079--1106 (1993; Zbl 0800.62419) Full Text: DOI
Abraham, Bovas; Vijayan, K. Time series analysis for repeated surveys. (English) Zbl 0775.62008 Commun. Stat., Simulation Comput. 21, No. 3, 893-908 (1992). MSC: 62D05 62M10 PDFBibTeX XMLCite \textit{B. Abraham} and \textit{K. Vijayan}, Commun. Stat., Simulation Comput. 21, No. 3, 893--908 (1992; Zbl 0775.62008) Full Text: DOI
Adjibolosoo, Senyo B.-S. K. The power and robustness properties of tests for heteroskedasticity when the regressions are trended. (English) Zbl 0850.62223 Commun. Stat., Simulation Comput. 20, No. 4, 927-953 (1991). MSC: 62F03 62J05 65C05 62F35 62P20 PDFBibTeX XMLCite \textit{S. B. S. K. Adjibolosoo}, Commun. Stat., Simulation Comput. 20, No. 4, 927--953 (1991; Zbl 0850.62223) Full Text: DOI
Adjibolosoo, Senyo B.-S. K. The degree of severity of heteroskedasticity and the traditional Goldfield and Quandt pretest estimator. (English) Zbl 0850.62868 Commun. Stat., Simulation Comput. 19, No. 3, 827-836 (1990). MSC: 62P20 65C05 62F03 62F10 PDFBibTeX XMLCite \textit{S. B. S. K. Adjibolosoo}, Commun. Stat., Simulation Comput. 19, No. 3, 827--836 (1990; Zbl 0850.62868) Full Text: DOI
Sudmant, Walter; Kennedy, Peter On inference in the presence of heteroskedasticity without replicated observations. (English) Zbl 0718.62151 Commun. Stat., Simulation Comput. 19, No. 2, 491-504 (1990). MSC: 62J05 62F10 65C05 PDFBibTeX XMLCite \textit{W. Sudmant} and \textit{P. Kennedy}, Commun. Stat., Simulation Comput. 19, No. 2, 491--504 (1990; Zbl 0718.62151) Full Text: DOI
Koreisha, Sergio; Pukkila, Tarmo Linear methods for estimating ARMA and regression models with serial correlation. (English) Zbl 0707.62184 Commun. Stat., Simulation Comput. 19, No. 1, 71-102 (1990). MSC: 62M10 62F10 PDFBibTeX XMLCite \textit{S. Koreisha} and \textit{T. Pukkila}, Commun. Stat., Simulation Comput. 19, No. 1, 71--102 (1990; Zbl 0707.62184) Full Text: DOI
de Gooijer, Jan G.; Saikkonen, Pentti A specification strategy for order determination in ARMA models. (English) Zbl 0695.62215 Commun. Stat., Simulation Comput. 17, No. 3, 1037-1054 (1988). MSC: 62M10 PDFBibTeX XMLCite \textit{J. G. de Gooijer} and \textit{P. Saikkonen}, Commun. Stat., Simulation Comput. 17, No. 3, 1037--1054 (1988; Zbl 0695.62215) Full Text: DOI
Fomby, Thomas B. Small sample efficiency gains from a first observation correction for Hatanaka’s estimator of the lagged dependent variable-serial correlation regression model. (English) Zbl 0657.62129 Commun. Stat., Simulation Comput. 16, 551-570 (1987). MSC: 62P20 62F10 62J05 PDFBibTeX XMLCite \textit{T. B. Fomby}, Commun. Stat., Simulation Comput. 16, 551--570 (1987; Zbl 0657.62129) Full Text: DOI