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Statistical algorithms for models in state space using SsfPack 2.2

Shephard, Neil; Doornik, Jurgen; Koopman, Siem Jan - Department of Economics, Oxford University - 1998

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

Persistent link: https://www.econbiz.de/10010605168

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment

Large, Jeremy - Department of Economics, Oxford University - 2007

For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

Persistent link: https://www.econbiz.de/10004977856

Stability of nonlinear AR-GARCH models

Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity...

Persistent link: https://www.econbiz.de/10004977882

Goodness-of-Fit: An Economic Approach

Bandyopadhyay, Sanghamitra; Cowell, Frank A. - Department of Economics, Oxford University - 2009

Specific functional forms are often used in economic models of distributions; goodness-of-fit measures are used to assess whether a functional form is appropriate in the light of real-world data. Standard approaches use a distance criterion based on the EDF, an aggregation of differences in...

Persistent link: https://www.econbiz.de/10005009764

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or `hidden`. Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...

Persistent link: https://www.econbiz.de/10005047884

Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment

Large, Jeremy - Department of Economics, Oxford University - 2005

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

Persistent link: https://www.econbiz.de/10010661345

Evolving Patterns of International trade

Proudman, James - Department of Economics, Oxford University - 1998

Theoretical models of growth and trade suggest that patterns of international specialisation are inherently dynamic and evolve endogenously over time. Initial comparative advantages are either reinforced or gradually unwound with the passage of time. This paper put forward an empirical framework...

Persistent link: https://www.econbiz.de/10010820330

Combining Top-down and Bottom-up Accountability: Evidence from a Bribery Experiment

Serra, Danila - Department of Economics, Oxford University - 2008

Monitoring corruption typically relies on top-down interventions aimed at increasing the probability of external … accountable. This paper investigates the effectiveness of an accountability system that combines bottom-up monitoring and top … bribes under: 1) no monitoring; 2) conventional top-down auditing, and 3) an accountability system which gives citizens the …

Persistent link: https://www.econbiz.de/10011004232

Re-Thinking Reputation

Mell, Andrew - Department of Economics, Oxford University - 2011

Economic models of reputation make strong assumptions about the information available to players. In particular, it is assumed that they know the entire history of the game to date. Such models can seldom reproduce the cycling of reputations we observe in the real world. We build a model...

Persistent link: https://www.econbiz.de/10009291911

Monitoring Subcontracting in a Suppliers` Hierachy

Cella, Michela - Department of Economics, Oxford University - 2005

which will then be the object of the monitoring. The monitoring is therefore much less effective then when the principal can …

Persistent link: https://www.econbiz.de/10005090666