Showing 1 - 10 of 489
consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …
Persistent link: https://www.econbiz.de/10010290980
consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …
Persistent link: https://www.econbiz.de/10010543598
The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...
Persistent link: https://www.econbiz.de/10011259375
To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the quadratic form of the Gaussian state variables. The QGTM is among the most attractive candidate tools for analyzing yield curves for countries with low interest rates. However,...
Persistent link: https://www.econbiz.de/10010819391
We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...
Persistent link: https://www.econbiz.de/10004998849
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...
Persistent link: https://www.econbiz.de/10008534235
MNE groups stand at the centre of economic globalisation. They play a very important role cutting across most economies in the world. This paper presents the rationale, and the recommendation, as to why national statistical institutes (NSIs) should establish a team of experts (also named large...
Persistent link: https://www.econbiz.de/10015192766
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
Persistent link: https://www.econbiz.de/10015209990
Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...
Persistent link: https://www.econbiz.de/10013346916
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013356478