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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

Persistent link: https://www.econbiz.de/10010533201

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 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/10011350381

Mean and bold?

De Witte, Kristof; Dijkgraaf, Elbert - 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/10011373828

Commuters' preferences for fast and reliable travel

Koster, Paul; Koster, Hans - 2013

Persistent link: https://www.econbiz.de/10010191398

Spline smoothing over difficult regions

Koopman, Siem Jan; Wong, Soon Yip - 2008

We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

Persistent link: https://www.econbiz.de/10011377377

Sieve bootstrap inference for time-varying coefficient models

Friedrich, Marina; Lin, Yicong - 2021

We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it...

Persistent link: https://www.econbiz.de/10012795376

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 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/10011334362

A nonparametric method for predicting survival probabilities

Klaauw, Bas van der; Vriend, Sandra - 2015

Public programs often use statistical profiling to assess the risk that applicants will become long-term dependent on the program. The literature uses linear probability models and (Cox) proportional hazard models to predict duration outcomes. These either focus on one threshold duration or...

Persistent link: https://www.econbiz.de/10011391532

Nonparametric estimation of the costs of non-sequential search

Moraga-González, José Luis; Sandor, Zsolt; … - 2007

We study a consumer non-sequential search oligopoly model with search cost heterogeneity. We first prove that an equilibrium in mixed strategies always exists. We then examine the nonparametric identification and estimation of the costs of search. We find that the sequence of points on the...

Persistent link: https://www.econbiz.de/10011373819

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