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Confidence intervals for state price densities
Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916784
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Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Diebold, Francis X. - 1998
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...
Persistent link: https://www.econbiz.de/10012471967
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Regime Switches in Interest Rates
Ang, Andrew - 1998
econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …
Persistent link: https://www.econbiz.de/10012472295
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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert - 1997
States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector …-problem effects is largely consistent with term structure data from the U.S., U.K., and Germany …
Persistent link: https://www.econbiz.de/10012472666
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, Michael W. - 2001
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10012470313
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Estimating state-price densities with nonparametric regression
Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009624851
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …
Persistent link: https://www.econbiz.de/10009627286
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485
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Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999
the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …
Persistent link: https://www.econbiz.de/10009581110