Similar Search Results

Consistent estimation of structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2010

estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic … approximation algorithms whose gain sequence is decreasing to zero. Our focus is on the estimation of the parameters in the …

Persistent link: https://www.econbiz.de/10011381034

A predictive functional regression model for asset return

Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311

Persistent link: https://www.econbiz.de/10010239559

A Bayesian approach to modelling and projecting cohort effects

Hunt, Andrew; Blake, David - 2015

Persistent link: https://www.econbiz.de/10011412903

Model averaging prediction for time series models with a diverging number of parameters

Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221

Persistent link: https://www.econbiz.de/10012619966

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289