3 citations · 7 across the 5 of their papers we have counts for
5 papers
On the correlation analysis of illiquid stocks
Hamdi Raïssi
The serial correlations of illiquid stock's price changes are studied, allowing for unconditional heteroscedasticity and time-varying zero returns probability. Depending on the set…
Testing instantaneous causality in presence of non constant unconditional variance
Quentin Giai Gianetto, Hamdi Raissi
The problem of testing instantaneous causality between variables with time-varying unconditional variance is investigated. It is shown that the classical tests based on the assumpt…
Lag length identification for VAR models with non-constant variance
Hamdi RaÏssi
The identification of the lag length for vector autoregressive models by mean of Akaike Information Criterion (AIC), Partial Autoregressive and Correlation Matrices (PAM and PCM he…
Corrected portmanteau tests for VAR models with time-varying variance
Valentin Patilea, Hamdi Raïssi
The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-vary…
Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
Valentin Patilea, Hamdi Raïssi
Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is determin…