Showing 1 - 10 of 235
There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns...
Persistent link: https://www.econbiz.de/10009743269
Persistent link: https://www.econbiz.de/10013388142
In diesem Aufsatz wird die nichtparametrische Autoregression auf die Prognose von Quantilen angewendet. Verfahren der Kernregression werden benutzt, um zu autoregressiven Quantiisschätzern zu gelangen. Da die üblichen Maße zur Beurteilung der Prognose, wie etwa der mittlere quadratische...
Persistent link: https://www.econbiz.de/10009681115
Persistent link: https://www.econbiz.de/10013388162
Persistent link: https://www.econbiz.de/10004718174
Persistent link: https://www.econbiz.de/10004718180
Persistent link: https://www.econbiz.de/10004780626
Persistent link: https://www.econbiz.de/10004749118
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10010261265
Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not? With the help of Markov Switching Models movements of...
Persistent link: https://www.econbiz.de/10010266093