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Bayesian regression with heteroscedastic error density and parametric mean function

Pelenis, Justinas - In: Journal of Econometrics 178 (2014) P3, pp. 624-638

achieve posterior consistency of the regression parameters and conditional error densities are provided. In experiments, the …

Persistent link: https://www.econbiz.de/10010730143

Bayesian Semiparametric Regression

Pelenis, Justinas - Department of Economics and Finance Research and … - 2012

consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …

Persistent link: https://www.econbiz.de/10010543598

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns

Bhattacharyya, Malay; Madhav R, Siddarth - Volkswirtschaftliche Fakultät, … - 2012

The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...

Persistent link: https://www.econbiz.de/10011259375

Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions

Kikuchi, Kentaro - Institute for Monetary and Economic Studies, Bank of Japan - 2012

To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the quadratic form of the Gaussian state variables. The QGTM is among the most attractive candidate tools for analyzing yield curves for countries with low interest rates. However,...

Persistent link: https://www.econbiz.de/10010819391

Stylized Facts of Daily Return Series and the Hidden Markov Model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan - Economics Institute for Research (SIR), … - 1996

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

Persistent link: https://www.econbiz.de/10005649155

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2005

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

Persistent link: https://www.econbiz.de/10008534235

Keeping pace with change in SMEs: creating and maintaining congruence and consistency in SMEs in transition economies.

Robinson, David A - 2008

orientation involves the creation and maintenance of congruence and consistency in workplace practices. Today's global leaders are … consistency, across ten key areas of leadership practices to meet the ongoing challenges associated with transporting …

Persistent link: https://www.econbiz.de/10009441634

Asymptotic Theory of General Multivariate GARCH Models

Jiang, Weibin - 2011

application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE …

Persistent link: https://www.econbiz.de/10009447285

Consistency in Destination Branding: The Impact of Events

Marzano, G.; Scott, N. R. - 2006

event not just in terms of the direct financial contribution that it generates but also in terms of its consistency with the … destination brand values. Consistency as an evaluation criteria concerns how (and if) the interrelationships among the elements of … incorporating consistency as an evaluation criterion of an event. In particular, the results of a content analysis performed using …

Persistent link: https://www.econbiz.de/10009448047

Optimal choice of k n -records in the extreme value index estimation

El Arrouchi, Mohamed; Imlahi, Abdelouahid - In: Statistics & Decisions 23 (2005) 2, pp. 101-115

its consistency and asymptotic normality. The problem of specifying the optimal value of k = k n involved in our …

Persistent link: https://www.econbiz.de/10014621301