Financial word of the day: Heteroscedasticity — meaning, usage, and why it matters more than ever

Financial word of the day: Heteroscedasticity describes a situation where risk (variance) changes with the level of a ...
Kellogg School of Management

Practical Regression: Noise, Heteroskedasticity, and Grouped Data

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 ...
Investopedia

Heteroscedasticity Explained: Definition, Types, and Impact on Finance

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
JSTOR Daily

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...