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Nonparametric Quasi-likelihood in Longitudinal Data Analysis

Jiang, Xiaoping - 2004

This dissertation proposes a nonparametric quasi-likelihood approach to estimate regression coefficients in the class of generalized linear regression models for longitudinal data analysis, where the covariance matrices of the longitudinal data are totally unknown but are smooth functions of...

Persistent link: https://www.econbiz.de/10009450572

Business cycle estimation with high-pass and band-pass local polynomial regression

Álvarez, Luis J.

Incluye bibliografía ; Los filtros construidos a partir de métodos de regresión polinómica local (LPR) han sido utilizados en la literatura para estimar el ciclo económico. En este trabajo se proporciona una interpretación en el dominio de frecuencias del filtro de contraste obtenido como...

Persistent link: https://www.econbiz.de/10012530540

Density Deconvolution with Replicate Measurements and Auxiliary Data

McIntyre, Julie P. - 2003

We present two deconvolution estimators for the density function of a random variable X that is measured with error … estimator generalizes the deconvolution estimator of Stefanski and Carroll (1990), with the measurement error variances … study and an example.The second is a semi-parametric deconvolution estimator that assumes the availability of a covariate …

Persistent link: https://www.econbiz.de/10009431272

Stochastic modelling of financial time series with memory and multifractal scaling

Snguanyat, Ongorn - 2009

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

Persistent link: https://www.econbiz.de/10009437906

Stochastic modelling of financial processes with memory and semi-heavy tails

Pesee, Chatchai - 2005

This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the...

Persistent link: https://www.econbiz.de/10009438240

Long-Range Dependence in Daily Interest Rate

Ioannidis, C; Monoyios, M - 2001

We employ a number of parametric and non-parametric techniques toestablish the existence of long-range dependence in daily interbank o errates for four countries. We test for long memory using classical R=Sanalysis, variance-time plots and Lo's (1991) modi ed R=S statistic. Inaddition we...

Persistent link: https://www.econbiz.de/10009465470

Interest rate dynamics in Kenya: Commercial banks? rates and the 91-Day Treasury bill rate

Caporale, GM; Gil-Alana, LA - 2010

This paper analyses the implicit dynamics underlying the interest rate structure inKenya. For this purpose we use data on four commercial banks? interest rates (Deposits,Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for thetime period July 1991 ? August 2010, and...

Persistent link: https://www.econbiz.de/10009481443

Decomposing intraday dependence in currency markets : evidence from the AUD/USD spot market

Batten, Jonathan; Ellis, Craig; Hogan, W. P. - Macquarie University; University of Western Sydney; … - 2005

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...

Persistent link: https://www.econbiz.de/10009482055