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Null recurrent unit root processes

Myklebust, Terje; Karlsen, Hans Arnfinn; Tjøstheim, Dag - In: Econometric theory 28 (2012) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10009520976

Modeling cyclical behavior with differential-difference equations in an unobserved components framework

Chambers, Marcus J.; MacGarry, Joanne - In: Econometric theory 18 (2002) 2, pp. 387-419

Persistent link: https://www.econbiz.de/10001661304

Quantilograms under strong dependence

Lee, Ji Hyung; Linton, Oliver; Whang, Yoon-jae - In: Econometric theory 36 (2020) 3, pp. 457-487

Persistent link: https://www.econbiz.de/10012240727

Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models

Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28

mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on … without correlations in the factor dynamics. We show that for USA mortality data, the probability of negative mortality rates … performs well compared to the other affine models in explaining and forecasting USA age-cohort mortality data. …

Persistent link: https://www.econbiz.de/10013368640

Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models

Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28

Persistent link: https://www.econbiz.de/10013555494

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011443686