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Modified profile likelihood inference and interval forecast of the burst of financial bubbles

Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016

We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...

Persistent link: https://www.econbiz.de/10011514498

Testing a model of the UK by the method of indirect inference

Meenagh, David; Minford, Patrick; Theodoridis, Konstantinos - 2008

Persistent link: https://www.econbiz.de/10003728832

Calvo contracts : optimal indexation in general equilibrium

Le, Vo Phuong Mai; Minford, Patrick - 2006

Persistent link: https://www.econbiz.de/10003322863

Nonlinear error-correction models for the FF/DM rate

Baghli, Mustapha (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10003283104

Solving Ramsey problems with nonlinear projection methods

Gapen, Michael T. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10003283221

Joint tests for non-linearity and long memory : the case of purchasing power parity

Smallwood, Aaron D. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10003283256

Investigating nonlinearity : a note on the estimation of Hamilton's random field regression model

Bond, Dereck; Harrison, Michael J.; O'Brien, Edward J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10003283953

Comment on Investigating nonlinearity

Hamilton, James D. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10003283961

Are real exchange rates nonlinear or nonstationary? : Evidence from a new threshold unit root test

Başçı, Erdem (contributor); Caner, Mehmet (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10003284016

Detecting nonlinearity in time series : surrogate and bootstrap approaches

Hinich, Melvin J. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10003284297

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