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Real-time weakness of the global economy: a first assessment of the coronavirus crisis
Leiva León, Danilo; Pérez Quirós, Gabriel; Rots, Eyno - 2020
impacto económico de la crisis del coronavirus. Segundo, proporciona una narrativa coherente de los principales contribuyentes … weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of … measuring the economic effects of coronavirus. Second, it provides a consistent narrative of the main regional contributors of …
Persistent link: https://www.econbiz.de/10012523808
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A time-domain test for some types of nonlinearity
Barnett, A. G.; Wolff, R. C. - 2005
The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the bispectrum is that its estimator comprises terms...
Persistent link: https://www.econbiz.de/10009447971
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Market efficiency and the Euro: the case of the Athens Stock Exchange
Panagiotidis, T - 2003
TGARCH) are also presented in order to investigate the behaviour of theseries. Lastly, linear, asymmetric and non-linear …
Persistent link: https://www.econbiz.de/10009465449
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Making Forecasts for Chaotic Processes in the Presence of Model Error
Danforth, Christopher M - 2006
Numerical weather forecast errors are generated by model deficiencies and by errors in the initial conditions which interact and grow nonlinearly. With recent progress in data assimilation, the accuracy in the initial conditions has been substantially improved so that accounting for systematic...
Persistent link: https://www.econbiz.de/10009450747
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LOF of logistic GEE models and cost efficient Bayesian optimal designs for nonlinear combinations of parameters in nonlinear regression models
Tang, Zhongwen - 2008
currently available LOF methods for logistic GEE models. A SAS macro was developed to implement the proposed method.Nonlinear … for nonlinear combinations of parameters in a nonlinear model with quantitative predictors. An R package was developed to …
Persistent link: https://www.econbiz.de/10009464058
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Conditional coskewness and asset pricing
Smith, Daniel R. - 2007
We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional...
Persistent link: https://www.econbiz.de/10009483388
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Quantitative Analyse dynamischer nichtlinearer Panelmodelle ; Analysis of dynamic nonlinear panel models
Bode, Oliver - 2013
Persistent link: https://www.econbiz.de/10010353235
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Essays in Financial Econometrics
Hua, Jian - 2010
In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...
Persistent link: https://www.econbiz.de/10009439200
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Maximum likelihood estimation of generalized linear models with covariate measurement error
Rabe-Hesketh, Sophia; Skrondal, Anders; Pickles, Andrew - 2003
Generalized linear models with covariate measurement error can be estimated by maximum likelihood using gllamm, a program that fits a large class of multilevel latent variable models (Rabe-Hesketh, Skrondal, and Pickles 2004). The program uses adaptive quadrature to evaluate the log likelihood,...
Persistent link: https://www.econbiz.de/10009443380