Although the Bock–Aitkin likelihood-based estimation method for factor analysis of dichotomous item response data has important advantages over classical analysis of item tetrachoric correlations, a serious limitation of the method is its reliance on fixed-point Gauss-Hermite (G-H) quadrature...

Although the Bock–Aitkin likelihood-based estimation method for factor analysis of dichotomous item response data has important advantages over classical analysis of item tetrachoric correlations, a serious limitation of the method is its reliance on fixed-point Gauss-Hermite (G-H) quadrature...

In this paper a Taylor rule including the exchange rate gap is estimated for Switzerland under the assumption that the parameters depend on two states governed by a Markov switching process. The estimates suggest the presence of an ordinary and an aggressive regime. The former is characterized...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

Motivated by the need for an unbiased and positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states...

The aim of our paper is the development of an adequate estimation model for the loss given default, which incorporates the empirically observed bimodality and bounded nature of the distribution. Therefore we introduce an adjusted Expectation Maximization algorithm to estimate the parameters of a...

We show that adding replications in replicated difference test results in larger power and smaller variance when the number of assessors is fixed. On the other hand, when the number of total assessments is fixed, the power usually decreases and the variability increases whenever replications are...