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On stationary solutions of delay differential equations driven by a Lévy process

Gushchin, Alexander A.; Küchler, Uwe - 1998

Persistent link: https://www.econbiz.de/10009578568

On sequential parameter estimation for some linear stochastic differential equations with time delay

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 1998

Persistent link: https://www.econbiz.de/10009578573

Asymptotic inference for a linear stochastic differential equation with time delay

Gushchin, Alexander A.; Küchler, Uwe - 1997

Persistent link: https://www.econbiz.de/10009657896

On parametric statistical models for stationary solutions of affine stochastic delay differential equations

Gushchin, Alexander A.; Küchler, Uwe - 2001

Persistent link: https://www.econbiz.de/10009616777

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...

Persistent link: https://www.econbiz.de/10009614880

The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

Gil-Alaña, Luis A. - 2001

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise...

Persistent link: https://www.econbiz.de/10009615431

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384