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System identification : advances and case studies
Mehra, Raman K. (contributor) - 1976
Persistent link: https://www.econbiz.de/10009604541
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Lineare versus nichtlineare Modelle für univariate Zeitreihen : Diagnoseverfahren und Tests
Schuhr, Roland - 1991
Persistent link: https://www.econbiz.de/10000830424
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Bayesian inference in regression with Pearson disturbances
Tsionas, Efthymios G. - In: Economics Letters 118 (2013) 1, pp. 177-181
In this paper we propose new estimation techniques in connection with regression models whose errors have distributions which are members of the celebrated Pearson’s system. Efficient MCMC procedures are proposed in the context of likelihood—based inference. The new techniques are applied to...
Persistent link: https://www.econbiz.de/10011041585
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The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model
McCrorie, J. - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 273-286
Persistent link: https://www.econbiz.de/10005184573
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Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of Finance 8 (2012) 2, pp. 277-308
Persistent link: https://www.econbiz.de/10010866518
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Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
Salado, Alejandro Iván Aguirre; Huerta, Humberto Vaquera; … - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 1, pp. 177-205
This work proposes an approach for estimating value at risk (VaR) of the Mexican stock exchange index (IPC) by using a … combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH …) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to …
Persistent link: https://www.econbiz.de/10010823163
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Do Budget Deficits Affect Real Interest Rates? A Test of Ricardian Equivalence Theorem
Nguyen, Tuan Van - In: Acta Universitatis Danubius. OEconomica (2013) 5(5), pp. 86-102
appropriate model for the BDEF series, while the ARMA (3,2) is the proper model for the INTRATE series. The estimated VAR (2 …
Persistent link: https://www.econbiz.de/10011165850
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Autoregressive moving average infinite hidden markov-switching models
Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2015
Markov-switching models are usually specified under the assumption that all the parameters change when a regime switch occurs. Relaxing this hypothesis and being able to detect which parameters evolve over time is relevant for interpreting the changes in the dynamics of the series, for...
Persistent link: https://www.econbiz.de/10011246294
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Vektorautokorrelationen stochastischer Prozesse und die Spezifikation von ARMA-Modellen
Paparoditis, Efstathios - 1990
Persistent link: https://www.econbiz.de/10004099285
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Robuste Schätzung von ARMA-Modellen unter Verwendung von robust geschätzten Autokovarianzen
Forster, Michael - 1994
Persistent link: https://www.econbiz.de/10004159808