Narrow search
Showing 1 - 10 of 285
Cover Image
Testing parameter constancy in unit root autoregressive models against continuous change
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10002570513
Cover Image
Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233
Cover Image
Numerical aspects of Bayesian VAR-modeling
Kadiyala, K. Rao; Karlsson, Sune - 1994
Persistent link: https://www.econbiz.de/10000885969
Cover Image
A comparison between bias approximations applied to bivariate VAR models
Brännström, Tomas - 1994
Persistent link: https://www.econbiz.de/10000893698
Cover Image
Evaluating portfolio performance with stochastic discount factors
Dahlquist, Magnus; Söderlind, Paul - 1997
Persistent link: https://www.econbiz.de/10000962236
Cover Image
Solution and estimation of RE macromodels with optimal policy
Söderlind, Paul - 1998
Persistent link: https://www.econbiz.de/10000993261
Cover Image
Testing linearity against smooth transition autoregression using a parametric bootstrap
Skalin, Joakim - 1998
Persistent link: https://www.econbiz.de/10000995380
Cover Image
Stochastic dominance amongst Swedish income distributions
Maasoumi, Esfandiar; Heshmati, Almas - 1998
Persistent link: https://www.econbiz.de/10000995381
Cover Image
On the consistency of the DEA-based average technical efficiency bootstrap
Löthgren, Mickael - 1997
Persistent link: https://www.econbiz.de/10000968583
Cover Image
A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176