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Showing 1 to 2 of 2 for “"nonconstant variance"”.
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The volatility smile of Canadian index options : estimations and tests
… of the smile could be attributed to the nonconstant variance of the underlying asset, which violates one of the assumptions of the Black-Scholes model. Consequently, it would be incorrect to assume that the risk neutral probability distribution of the underlying asset is lognormal. The …
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A Comparison Of Ordinary Least Squares, Weighted Least Squares, And Other Procedures When Testing For The Equality Of Regression
<p>When testing for the equality of regression slopes based on ordinary least squares (OLS) estimation, extant research has shown that the standard F performs poorly when the critical assumption of homoscedasticity is violated, resulting in increased Type I error rates and reduced statistical power …