 Three-factor profile analysis with GARCH innovationsPui-Lam Leung and Wing-Keung Wong Mathematics and Computers in Simulation (MATCOM), 2008, vol. 77, issue 1, 1-8 Abstract: The technique of ANOVA has been widely used in economics and finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by relaxing the assumption of independence in time. We further relax the assumption of homoskedasticity in the traditional profile analysis by introducing GARCH innovations in our proposed profile analysis that allows for both autoregressive and moving average components in the heteroskedastic variance to display a high degree of persistence. We reprise the model with regards to the issue of American depository receipts by relaxing the time-dependence assumption that has been ignored in the literature. Applying our model, we find that the returns from the stocks and the American depository receipts are time-dependent and hence the traditional ANOVA cannot fully explore the time effect from the data. Keywords: ANOVA; MANOVA; GARCH model; Time-dependence; Profile analysis; Treatment; American depository receipts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:77:y:2008:i:1:p:1-8 DOI: 10.1016/j.matcom.2006.12.011 Access Statistics for this article Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier |
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