Showing 1 - 10 of 191
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in …
Persistent link: https://www.econbiz.de/10012697497
Persistent link: https://www.econbiz.de/10011781848
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...
Persistent link: https://www.econbiz.de/10011653689
establish even the most salient of the results. The problems can be greatly alleviated by adopting an orderly index notation …
Persistent link: https://www.econbiz.de/10012547405
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...
Persistent link: https://www.econbiz.de/10011710999
A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the basic assumptions of the theoretical model are empirically valid. Using this method, the paper demonstrates that all basic assumptions about the shock structure and...
Persistent link: https://www.econbiz.de/10011711002
This note studies the criterion for identifiability in parametric models based on the minimization of the Hellinger distance and exhibits its relationship to the identifiability criterion based on the Fisher matrix. It shows that the Hellinger distance criterion serves to establish...
Persistent link: https://www.econbiz.de/10013041139
This paper proposes enhanced studies on a model consisting of a finite mixture framework of generalized linear models (GLMs) with gamma-distributed responses estimated using the Bayesian approach coupled with the Markov Chain Monte Carlo (MCMC) method. The log-link function, which relates the...
Persistent link: https://www.econbiz.de/10013533212
A survey is provided dealing with the formulation of modelling problems for dynamic factor models, and the various algorithm possibilities for solving these modelling problems. Emphasis is placed on understanding requirements for the handling of errors, noting the relevance of the proposed...
Persistent link: https://www.econbiz.de/10013533243
For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...
Persistent link: https://www.econbiz.de/10013533262