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Duration dependence in US business cycles : an analysis using the modulated power law process
Zhou, Haigang; Rigdon, Steven E. - In: Journal of economics and finance 32 (2008) 1, pp. 25-34
Persistent link: https://www.econbiz.de/10003710656
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Duration dependence in bull and bear stock marlets
Zhou, Haigang; Rigdon, Steven E. - In: Modern economy 2 (2011) 3, pp. 279-286
Persistent link: https://www.econbiz.de/10009532435
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Goodness of fit tests in modeling the distribution of the daily rate of return of the WIG20 companies
Bednarz, Kamila - In: Folia oeconomica Stetinensia : FOS 10 (2011) 2, pp. 103-113
Persistent link: https://www.econbiz.de/10009663712
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Verteilungsmodelle und Risikomaße für Minimalrenditen
Mihai, Mihnea-Stefan - 2005
Persistent link: https://www.econbiz.de/10002948930
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...
Persistent link: https://www.econbiz.de/10012604174
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Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
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Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
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Maximum likelihood estimation of time-varying parameters : an application to the Athens Stock Exchange index
Abutaleb, Ahmed S.; Papaioannou, Michael G. - In: Applied economics 32 (2000) 10, pp. 1323-1328
Persistent link: https://www.econbiz.de/10001527086
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Maximum Likelihood Estimation of a Poissonian Count Rate Function for the Followers of a Twitter Account Making Directional Forecasts of the Stock Market
Giller, Graham L. - 2015
We derive expressions of use in the maximum likelihood estimation of a parameterized growth rate where the quantity growing is a Poissonian count rate parameterized in such a manner as to make it suitable to measure the number of Twitter accounts following an account that makes directional...
Persistent link: https://www.econbiz.de/10013039453
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Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017
Persistent link: https://www.econbiz.de/10011801427