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An integrated stress testing framework via Markov switching simulation

Chen, Wei; Skoglund, Jimmy - In: The journal of risk model validation 7 (2013) 2, pp. 3-27

Persistent link: https://www.econbiz.de/10009780655

Quantification of model risk in stress testing and scenario analysis

Skoglund, Jimmy - In: The journal of risk model validation 13 (2019) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012020265

Maximum likelihood based inference in the two-way random effects model with serially correlated time effects

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 1-38). 2001

Persistent link: https://www.econbiz.de/10001590174

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 39-88). 2001

Persistent link: https://www.econbiz.de/10001590176

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 89-115). 2001

Persistent link: https://www.econbiz.de/10001590178

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 119-150). 2001

Persistent link: https://www.econbiz.de/10001590185

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Karlsson, Sune; Skoglund, Jimmy - 2000

Persistent link: https://www.econbiz.de/10001486597

Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Karlsson, Sune; Skoglund, Jimmy - In: Empirical economics : a journal of the Institute for … 29 (2004) 1, pp. 79-88

Persistent link: https://www.econbiz.de/10001863281

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10001600056