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Generalized dynamic panel data models with random effects for cross-section and time

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722706

Exact inference for a simple step-stress model from the exponential distribution under time constraint

Balakrishnan, N.; Xie, Qihao; Kundu, D. - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 251-274

Persistent link: https://www.econbiz.de/10005169240

Multi-factor default correlation model estimation : enhancement with bootstrapping

Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48

Persistent link: https://www.econbiz.de/10014487316

On multivariate truncated generalized Cauchy distribution

Ateya, Saieed; Madhagi, Elham - In: Statistical Papers 54 (2013) 3, pp. 879-897

> are obtained. Making use of the mixed moments formula, skewness and kurtosis in case of the bivariate case are obtained …

Persistent link: https://www.econbiz.de/10010998560

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

Persistent link: https://www.econbiz.de/10011410634

The multivariate split normal distribution and asymmetric principal components analysis

Villani, Mattias; Larsson, Rolf - 2004

which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some … properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum …

Persistent link: https://www.econbiz.de/10011584774