Similar Search Results

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

Persistent link: https://www.econbiz.de/10010324616

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - 2011

An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...

Persistent link: https://www.econbiz.de/10010326501

Long memory and level shifts : re-analyzing inflation rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998

Persistent link: https://www.econbiz.de/10011283465

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687

Persistent link: https://www.econbiz.de/10011550112

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - School of Economics and Management, University of Aarhus - 2007

Persistent link: https://www.econbiz.de/10005114135

Multimodality in the GARCH Regression Model

Doornik, Jurgen A.; Ooms, Marius - Economics Group, Nuffield College, University of Oxford - 2003

Several aspects of GARCH(p,q) models that are relevant for empirical applications are investigated. In particular, it … is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood. This … invalidates standard inference on the estimated coefficients. Next, the implementation of different restrictions on the GARCH …

Persistent link: https://www.econbiz.de/10005730333

On the impossibility of fair risk allocation

Csóka, Péter; Pintér, Miklós - 2010

Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using a coherent measure of risk it is impossible to...

Persistent link: https://www.econbiz.de/10010124038

Cooperation in supply chains: A cooperative game theoretic analysis = Együttműködés ellátási láncokban: Egy kooperatív játékelméleti elemzés

Dobos, Imre; Pintér, Miklós - 2010

A cikkben a kooperatív játékelmélet fogalmait alkalmazzuk egy ellátási lánc esetében. Az ostorcsapás-hatás elemeit egy beszállító-termelő ellátási láncban ragadjuk meg egy Arrow-Karlin típusú modellben lineáris készletezési és konvex termelési költség mellett....

Persistent link: https://www.econbiz.de/10010124121