Showing 1 - 10 of 75
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...
Persistent link: https://www.econbiz.de/10005043150
We investigate the existence of chart patterns in the Euro/Dollar intra-daily foreign exchange market. We use two identification methods of the different chart patterns: one built on close prices only, and one based on low and high prices. We look for twelve types of chart patterns and we study...
Persistent link: https://www.econbiz.de/10005008293
We propose a jackknife for reducing the order of the bias of maximum likelihood estimates of nonlinear dynamic fixed-effect panel models. In its simplest form, the half-panel jackknife, the estimatorisjust 2θˆ−θ1/2,where θˆ!istheMLEfromthefullpaneland θ1/2 istheaverageofthe two...
Persistent link: https://www.econbiz.de/10008550181
The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood. Although some progress has been made recently, a complete...
Persistent link: https://www.econbiz.de/10010662673
The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive its asymptotic properties. We confirm our...
Persistent link: https://www.econbiz.de/10005008468
Benchmarking methods, and in particular Data Envelopment Analysis (DEA), have become well-established and informative tools for economic regulation. DEA is now routinely used by European regulators to set reasonable revenue caps for energy transmission and distribution system operators. The...
Persistent link: https://www.econbiz.de/10010927677
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two different regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks...
Persistent link: https://www.econbiz.de/10005043445
Nowcasting regards the inference on the present realization of random variables, on the basis of information available until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel data with severe deficiencies, namely short times...
Persistent link: https://www.econbiz.de/10005008511
In this paper, we propose an empirical method to measure the market imperfection and the bargaining power of the agents, by extending the methods of frontier analysis. A case study in the field of freight transport illustrates the proposed method.
Persistent link: https://www.econbiz.de/10005008607
This paper complements the results of Hausman and Taylor (1981) and Cornewell, Schmidt and Sickles (1990) and generalizes Park and Simar (1994) by examining the semiparametric efficient estimation of panel models in which the random effects and the regressors have certain patterns of correlation.
Persistent link: https://www.econbiz.de/10005669224