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Optimal Hedging with the Vector Autoregressive Model
Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …
Persistent link: https://www.econbiz.de/10011257633
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Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.
Hommes, Cars; Manzan, Sebastiano - Tinbergen Instituut - 2006
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...
Persistent link: https://www.econbiz.de/10011255740
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Instituut - 2005
This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>
Persistent link: https://www.econbiz.de/10011256266
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2012
This discussion paper led to a publication in the <I>Electronic Journal of Statistics</I> (2014). Vol. 8, pages 1088-1112.<P> We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We...</p></i>
Persistent link: https://www.econbiz.de/10011256295
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Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 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/10011256477
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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Tinbergen Instituut - 2013
volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …
Persistent link: https://www.econbiz.de/10011257617
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The Origins of Logistic Regression
Cramer, J.S. - Tinbergen Instituut - 2002
This paper describes the origins of the logistic function, its adoption in bio-assay, and its wider acceptance in statistics. Its roots spread far back to the early 19th century; the survival of the term logistic and the wide application of the device have been determined decisively by the...
Persistent link: https://www.econbiz.de/10011255532
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On the Timing of Marriage, Cattle and Weather Shocks
Hoogeveen, Hans; Klaauw, Bas van der; Lomwel, Gijsbert van - Tinbergen Instituut - 2004
This discussion paper resulted in an article in 'Economic Development and Cultural Change', 2011, 60, 121-154. <P> In this paper we focus on the timing of marriages of women, whose marriages are associated with bride wealth payments, which are transfers from (the family of) the groom to the bride's...</p>
Persistent link: https://www.econbiz.de/10011256857
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Disentangling the Age, Period, and Cohort Effects using a Modeling Approach
Portrait, France; Alessie, Rob; Deeg, Dorly - Tinbergen Instituut - 2002
Disentangling age, period, and cohort effects in explaining health trends is crucial to assess future prevalences of health disorders. The identification problem -- age, period, and cohort effects are perfectly linearly related -- is tackled by modeling cohort and period effects using lifetime...
Persistent link: https://www.econbiz.de/10011257573