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A Note on spurious regression in the presence of ARCH effects: some Monte Carlo results

Christos Agiakloglou et al.

Applied Economics2026https://doi.org/10.1080/00036846.2026.2619147article
AJG 2ABDC A
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0.50

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https://doi.org/https://doi.org/10.1080/00036846.2026.2619147

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@article{christos2026,
  title        = {{A Note on spurious regression in the presence of ARCH effects: some Monte Carlo results}},
  author       = {Christos Agiakloglou et al.},
  journal      = {Applied Economics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1080/00036846.2026.2619147},
}

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A Note on spurious regression in the presence of ARCH effects: some Monte Carlo results

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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