Narrow search
Showing 1 - 10 of 295
Cover Image
On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations
Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31
model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …
Persistent link: https://www.econbiz.de/10009754537
Cover Image
A residual-based test for multivariate GARCH models using transformed quadratic residuals
Ke, Rui; Jia, Jing; Tan, Changchun - In: Economics letters 206 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012886565
Cover Image
Generalized covariance estimator
Gouriéroux, Christian; Jasiak, Joann - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1315-1327
Persistent link: https://www.econbiz.de/10014448640
Cover Image
Automatic specification testing for vector autoregressions and multivariate nonlinear time series models
Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437
Persistent link: https://www.econbiz.de/10010337859
Cover Image
Beware the Gini index! : a new inequality measure
Inoua, Sabiou M. - 2021
Persistent link: https://www.econbiz.de/10012651658
Cover Image
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Cover Image
Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
Cover Image
Linear double autoregression
Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
Cover Image
Improved estimation of the extreme value index using related variables
Ahmed, Hanan; Einmahl, John H. J. - 2018
Persistent link: https://www.econbiz.de/10011879741
Cover Image
Parametric inference for index functionals
Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 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/10011823357