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Confidence intervals for state price densities
Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916784
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Nonparametric and semiparametric estimation of additive models with both discrete continuous variables under dependence
Camlong-Viot, Christine (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916840
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Interest parity at short and long horizons
Chinn, Menzie David; Meredith, Guy - 2000
The unbiasedness hypothesis -- the joint hypothesis of uncovered interest parity (UIP) and rational expectations -- has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...
Persistent link: https://www.econbiz.de/10009583878
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Animal spirits, technology shocks and the business cycle
Weder, Mark - 1997
In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present in one sector of the economy (investment). This feature of the model, therefore, builds on...
Persistent link: https://www.econbiz.de/10009659067
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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
theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …
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
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
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 …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …
Persistent link: https://www.econbiz.de/10009627286
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485