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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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Bayes estimates in multivariate semiparametric linear models
Bunke, Olaf - 2002
Bayes estimates are derived in multivariate linear models with unknown distribution. The prior distribution is defined using a Dirichlet prior for the unknown error distribution and a ormal-Wishart distribution for the parameters. The posterior distribution for the parameters is determined and...
Persistent link: https://www.econbiz.de/10009626682
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Selfinformative limits of bayes estimates and generalized maximum likelihood
Bunke, Olaf (contributor); Johannes, Jan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919013
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Modeling panels of intercorrelated autoregressive time series
Hjellvik, Vidar; Tjostheim, Dag - 1998
We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …
Persistent link: https://www.econbiz.de/10009578021
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A parametric approach to the estimation of cointegration vectors in panel data
Breitung, Jörg - 2002
In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …
Persistent link: https://www.econbiz.de/10009620776
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Nonparametric estimation and testing of interaction in additive models
Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998
Estimation …
Persistent link: https://www.econbiz.de/10009574875
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The Beveridge-Nelson decomposition : a different perspective with new results
Gómez, Víctor; Breitung, Jörg - 1998
We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...
Persistent link: https://www.econbiz.de/10009577456
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...
Persistent link: https://www.econbiz.de/10009578570
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Testing the diffusion coefficient
Kleinow, Torsten - 2002
In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...
Persistent link: https://www.econbiz.de/10009622677