The Variance-Free Characterization of Heteroscedastic Normal Variables with an Application in Financial Econometrics
p. 60-69
Abstract
In the presented study it is shown how heteroscedastic normal variables with unknown variance can be characterized by a symmetric beta distribution of the first kind with a known parameter. The presented variance-free characterization technique is illustrated with testing for normality the empirically observed financial return time series. We further suggest one of the possible extensions of the presented method that can be used for statistical learning with applications in real-time and time-critical systems.
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References
Bibliographical reference
Max V. Moldovan and Nicholas A. Nechval, « The Variance-Free Characterization of Heteroscedastic Normal Variables with an Application in Financial Econometrics », CASYS, 19 | 2006, 60-69.
Electronic reference
Max V. Moldovan and Nicholas A. Nechval, « The Variance-Free Characterization of Heteroscedastic Normal Variables with an Application in Financial Econometrics », CASYS [Online], 19 | 2006, Online since 22 August 2024, connection on 20 September 2024. URL : http://popups.lib.uliege.be/1373-5411/index.php?id=2463
Authors
Max V. Moldovan
Melbourne Business School - The University of Melbourne
200 Leicester Street, Carlton, Victoria, Australia, VIC 3053
Nicholas A. Nechval
Department of Mathematical Statistics - University of Latvia
Raina Blvd 19, Riga, Latvia, LV 1050