Narrow search
Showing 1 - 10 of 141
Cover Image
Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637
Cover Image
A nonlinear time series model of El Niño
Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000994162
Cover Image
A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
Cover Image
A dynamic conditionally heteroscedastic stochastic frontier model
Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984774
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
Cover Image
An application of the analogy between vector ARCH and vector random coefficient autoregressive models
He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
; multivariate volatility model ; random coefficient model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10001714621
Cover Image
Maximum likelihood estimation of the multivariate fractional cointegration model
Lyhagen, Johan - 1998
Persistent link: https://www.econbiz.de/10000984648
Cover Image
A Monte Carlo analysis of technical inefficiency predictors
Kumbhakar, Subal; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984768
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
volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233