In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Recently, analysis of variance (ANOVA) random effects models have been applied to data sets consisting of repeated measurements of pollutants within factories in order to identify determinants of ...

Statistical inference for measurement error models addresses the challenge of drawing valid conclusions when observed data are contaminated by errors in measurement ...