User shenflow

9 votes

3 answers

651 views

Accuracy of Volatility Forecast

asked Oct 17, 2020 at 17:46

6 votes

1 answer

6k views

Quantile regression - "check function"

least-squares quantile-regression

asked Jan 6, 2018 at 16:26

5 votes

2 answers

693 views

How are ergodicity and "weak dependence" related?

regression time-series least-squares stochastic-processes ergodic

asked Jan 25, 2018 at 11:29

5 votes

4 answers

516 views

Comparing Coefficients of Two Time Series Models

regression time-series statistical-significance panel-data

asked Apr 16, 2020 at 10:25

4 votes

1 answer

166 views

How do zeroes impact regression estimates?

regression estimation

asked Jul 23, 2020 at 10:23

4 votes

1 answer

49 views

If two sample means of $X$ differ significantly and $X$ predicts $Y$, can it be inferred that the samples differ in their $Y$?

regression statistical-significance inference

asked Aug 9, 2020 at 13:21

4 votes

1 answer

159 views

Probability on different time scales

probability intuition small-sample finance volatility

asked Jan 26, 2021 at 21:50

3 votes

1 answer

41 views

Inference based on multiple hypothesis tests

hypothesis-testing multiple-comparisons bonferroni

asked May 5, 2021 at 8:12

3 votes

1 answer

206 views

Fat tails equal higher probability of non-extreme values according to Nassim Taleb?

distributions extreme-value kurtosis

asked Jun 7, 2021 at 10:28

3 votes

0 answers

52 views

Is it possible to specify different quantile regression models for each quantile?

regression quantile-regression

asked Jun 8, 2021 at 13:43

3 votes

1 answer

678 views

How are clustered standard errors and Newey-West errors related

regression inference robust clustered-standard-errors neweywest

asked Jul 23, 2020 at 12:48

3 votes

2 answers

159 views

Can a variable have a significant effect on an effect that is non-significant itself?

regression statistical-significance interpretation

asked Jun 1, 2020 at 16:01

3 votes

1 answer

248 views

Relation between OLS, MM and ML

regression estimation maximum-likelihood least-squares method-of-moments

asked Oct 21, 2020 at 11:08

3 votes

0 answers

61 views

Predicting the Residuals of a Forecast Model

regression time-series forecasting residuals

asked Oct 15, 2020 at 14:01

3 votes

1 answer

3k views

What are the assumptions for applying a quantile regression model?

regression time-series multiple-regression assumptions quantile-regression

asked Dec 31, 2017 at 10:46

3 votes

1 answer

908 views

Counterintuitive Augmented Dickey Fuller test results

r time-series autocorrelation stationarity augmented-dickey-fuller

asked Nov 22, 2017 at 11:27

2 votes

0 answers

2k views

How do I check wether a time series is weakly dependent?

regression time-series least-squares independence

asked Dec 17, 2017 at 10:21

2 votes

0 answers

283 views

Measuring the influence on the variance of a dependent variable (OLS Model)

regression variance econometrics linear

asked Oct 25, 2017 at 13:43

2 votes

0 answers

277 views

How to prove consistency of quantile regression estimators?

regression time-series assumptions quantile-regression consistency

asked Jan 23, 2018 at 14:45

2 votes

1 answer

186 views

Significance Test with dichotomous variable

hypothesis-testing statistical-significance sampling

asked Mar 5, 2019 at 15:02

2 votes

1 answer

39 views

Significance of a variable - Regression Model alternatives

regression statistical-significance cross-section

asked Jun 16, 2019 at 19:25

2 votes

1 answer

42 views

Regression of squared residuals

regression conditional-variance

asked Feb 15 at 9:22

2 votes

2 answers

149 views

Difference between stationarity and ergodicity

time-series stationarity ergodic

asked Apr 13 at 9:39

2 votes

1 answer

295 views

(G)ARCH: Squared Residuals vs Absolute Residuals

time-series variance standard-deviation garch

asked Feb 22, 2021 at 13:38

2 votes

2 answers

95 views

Residual Subscript in Time Series

time-series arima notation

asked Jan 5, 2021 at 12:31

2 votes

1 answer

184 views

Out of sample ARCH forecast

time-series garch volatility-forecasting out-of-sample

asked Jan 25, 2021 at 9:50

1 vote

0 answers

106 views

Modelling the Conditional Variance in a Panel Setting

time-series panel-data garch conditional-variance volatility

asked Mar 9, 2021 at 10:10

1 vote

0 answers

67 views

Relationship between Bias/Variance and Covariates in Ridge/Lasso Regression

regression lasso bias ridge-regression bias-variance-tradeoff

asked Nov 13, 2020 at 14:01

1 vote

1 answer

138 views

Prediction of Variance vs Variance of Prediction

regression variance predictive-models prediction-interval

asked Nov 23, 2020 at 8:44

1 vote

2 answers

107 views

Interpretation of Model with Continuous Interaction Term

regression interaction interpretation

asked Jul 2, 2020 at 17:03

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46 Questions

Accuracy of Volatility Forecast

Quantile regression - "check function"

How are ergodicity and "weak dependence" related?

Comparing Coefficients of Two Time Series Models

How do zeroes impact regression estimates?

If two sample means of $X$ differ significantly and $X$ predicts $Y$, can it be inferred that the samples differ in their $Y$?

Probability on different time scales

Inference based on multiple hypothesis tests

Fat tails equal higher probability of non-extreme values according to Nassim Taleb?

Is it possible to specify different quantile regression models for each quantile?

How are clustered standard errors and Newey-West errors related

Can a variable have a significant effect on an effect that is non-significant itself?

Relation between OLS, MM and ML

Predicting the Residuals of a Forecast Model

What are the assumptions for applying a quantile regression model?

Counterintuitive Augmented Dickey Fuller test results

How do I check wether a time series is weakly dependent?

Measuring the influence on the variance of a dependent variable (OLS Model)

How to prove consistency of quantile regression estimators?

Significance Test with dichotomous variable

Significance of a variable - Regression Model alternatives

Regression of squared residuals

Difference between stationarity and ergodicity

(G)ARCH: Squared Residuals vs Absolute Residuals

Residual Subscript in Time Series

Out of sample ARCH forecast

Modelling the Conditional Variance in a Panel Setting

Relationship between Bias/Variance and Covariates in Ridge/Lasso Regression

Prediction of Variance vs Variance of Prediction

Interpretation of Model with Continuous Interaction Term