A problem of interest in economic and finance applications is testing whether ARMA (Autoregressive moving average) errors are uncorrelated under weak assumptions, namely assumptions where the errors ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

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 ...

In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...