Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …

variables, to sample selection models, and to event history models, all in the context of maximum likelihood estimation. It …

articles of the most important methods in econometrics. It gives an overview of the field and its progress …

Economics", I am impressed because now it is time when "econometrics" is becoming more appreciated by economists and by schools …

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …

the fields of spatial econometrics, panel time-series analysis and structural simultaneous equation modelling to analyse … a stylized regional economic model such as interregional migration, factor and final demand estimation. All empirical …

correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …