Showing 1 - 10 of 547
, but then a bias term with unknown sign has to be estimated. We provide an estimator for this sign and the full programme …. Simulation results are also presented.It is weIl known that extreme value parameter estimators which balance the asymptotic bias …
Persistent link: https://www.econbiz.de/10010325182
Persistent link: https://www.econbiz.de/10003405398
Persistent link: https://www.econbiz.de/10009549695
Persistent link: https://www.econbiz.de/10009725761
Persistent link: https://www.econbiz.de/10009692651
Persistent link: https://www.econbiz.de/10011448112
Persistent link: https://www.econbiz.de/10012037764
Persistent link: https://www.econbiz.de/10012433650
We study the optimal choice of quasi-likelihoods for nearly integrated,possibly non-normal, autoregressive models. It turns out that the two mostnatural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...
Persistent link: https://www.econbiz.de/10010324379
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared …
Persistent link: https://www.econbiz.de/10010324389