Similar Search Results

Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks

Joseph, Agnes S.; Kiviet, Jan F. - Tinbergen Institute - 2004

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

Persistent link: https://www.econbiz.de/10005137300

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, Charles S. - Tinbergen Institute

Persistent link: https://www.econbiz.de/10008867496

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - Tinbergen Institute - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

Persistent link: https://www.econbiz.de/10008867506

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both the degree of non-linearity of the instruments comprised in the portfolio and the willingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10005144576

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10005137378

Mean and Bold?

Witte, Kristof De; Dijkgraaf, Elbert - Tinbergen Institute - 2007

The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly, in 1997, the sector association started with a voluntary benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly, merger activity arose. This paper develops a tailored...

Persistent link: https://www.econbiz.de/10005504883

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10005450790

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Institute - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10005144404

Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - Tinbergen Institute - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …

Persistent link: https://www.econbiz.de/10005137027

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002

The linear Gaussian state space model for which the common variance is treated as a stochastic time-varying variable is considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters related to the stochastic processes of the mean...

Persistent link: https://www.econbiz.de/10005209436

1
2
3
4
5
6
7
8
9
10
Next
Last