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Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11

bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution … inequality index. Its primary advantage is that the scale parameter does not need to be estimated to perform parametric bootstrap … suggest that this feature provides an advantage over the parametric bootstrap using the maximum likelihood estimator. We also …

Persistent link: https://www.econbiz.de/10011995222

Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años

Alonso C., Julio César; Torres, Giselle - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 45-54

Si bien es amplia la literatura que se ha dedicado a estudiar los hechos estilizados en las series de los rendimientos, para el caso colombiano solamente existe un trabajo que documenta estos hechos. Alonso y Arcos (2006) documentaron la presencia de cuatro hechos estilizados en la serie de los...

Persistent link: https://www.econbiz.de/10011859360

Measuring risk when expected losses are unbounded

Balbás, Alejandro; Blanco, Iván; Garrido, José - In: Risks 2 (2014) 4, pp. 411-424

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

Persistent link: https://www.econbiz.de/10011709511

Oil price forecasting using crack spread futures and oil exchange traded funds

Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary Economics 9 (2015) 1, pp. 29-44

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Persistent link: https://www.econbiz.de/10011480613

Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): Una evidencia del grado de integración

Fuentes Vélez, Mariana; Pinilla Barrera, Alejandro - In: Revista de Métodos Cuantitativos para la Economía y … 31 (2021), pp. 301-328

This paper presents the progress in the integration of the Latin American Integrated Market (MILA by its Spanish acronym) by studying the dynamic relationship between the volatilities of the markets that conform it: Colombia, Mexico, Peru and Chile. To achieve this objective, data between 2002...

Persistent link: https://www.econbiz.de/10014494443

How do the time-varying risk prices behave in Japan? An investigation with a multivariate GARCH-CAPM approach

Tsuji, Chikashi - In: The Open Economics Journal 1 (2008), pp. 58-63

This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...

Persistent link: https://www.econbiz.de/10010290069

Robust online signal extraction from multivariate time series

Lanius, Vivian; Gather, Ursula - 2007

We introduce robust regression-based online filters for multivariate time series and discuss their performance in real time signal extraction settings. We focus on methods that can deal with time series exhibiting patterns such as trends, level changes, outliers and a high level of noise as well...

Persistent link: https://www.econbiz.de/10010300660

Efficient iterative maximum likelihood estimation of high-parameterized time series models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Persistent link: https://www.econbiz.de/10010332621

Multiple time series forecasting using quasi-randomized functional link neural networks

Moudiki, Thierry; Planchet, Frédéric; Cousin, Areski - In: Risks 6 (2018) 1, pp. 1-20

We are interested in obtaining forecasts for multiple time series, by taking into account the potential nonlinear relationships between their observations. For this purpose, we use a specific type of regression model on an augmented dataset of lagged time series. Our model is inspired by dynamic...

Persistent link: https://www.econbiz.de/10011996579

Assessing regional economic performance in the southern Thailand special economic zone using a Vine-COPAR model

Liu, Jianxu - In: Economies 7 (2019) 2, pp. 1-10

Special economic zones (SEZ) can play an integral role in enhancing both regional and national economic growth. To explore the relationship between regional growth and the presence of an SEZ in Songkhla province, Thailand, the CD Vine-Copula AutoRegressive (CD-Vine COPAR) models were constructed...

Persistent link: https://www.econbiz.de/10013199542

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