Showing 1 - 10 of 19
Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML) methods. The paper suggests and studies the performance of generalized method of moments (GMM) and indirect estimators for the autoregressive asymmetric moving average model. Both...
Persistent link: https://www.econbiz.de/10005424008
This paper examine the macroeconomic influence of the numbers of employees who received notice of dismissal or lay off, in the Swedish manufacturing industry over the period 1980-1994. Given the assumption of fixed labour requirements after the installation of new capital equipments, the...
Persistent link: https://www.econbiz.de/10005424048
The research estimates a competing risk model of mortgage terminations on samples of UK securitised subprime mortgages. Given the argued role of these types of loan in the recent financial crisis then it is important to better understand their performance and supposed idiosyncratic behaviour....
Persistent link: https://www.econbiz.de/10010742120
This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>
Persistent link: https://www.econbiz.de/10005651931
The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The...
Persistent link: https://www.econbiz.de/10005651943
non-linear dynamic models may be characterized and studied, where the degree of stability is defined by the effects of exogenous shocks on the evolution of the observed stochastic system. This type of stability concept is frequently of interest in economics, e.g., in real business cycle theory....
Persistent link: https://www.econbiz.de/10005651945
This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the INAR(1) model. The fourth paper studies the interaction between...
Persistent link: https://www.econbiz.de/10005651973
This thesis comprises two papers concerning modelling of financial count data. The papers advance the integer-valued moving average model (INMA), a special case of integer-valued autoregressive moving average (INARMA) model class, and apply the models to the number of stock transactions in...
Persistent link: https://www.econbiz.de/10005651976
The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.
Persistent link: https://www.econbiz.de/10005652013
A vector integer-valued moving average (VINMA) model is introduced. <p> The VINMA model allows for both positive and negative correlations <p> between the counts. The conditional and unconditional first and second <p> order moments are obtained. The CLS and FGLS estimators are discussed. <p> The model is...</p></p></p></p>
Persistent link: https://www.econbiz.de/10005652015