Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroscedasticity, that are routinely addressed in time series econometrics of ...

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 ...

Doss, Charles R., and Edward McFowland III. "Nonparametric Subset Scanning for Detection of Heteroscedasticity." Journal of Computational and Graphical Statistics 31, no. 3 (2022): 813–823.

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 ...

One of the key assumptions of the ordinary regression model is that the errors have the same variance throughout the sample. This is also called the homoscedasticity ...