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Fast and accurate computation of the distribution of sums of dependent log-normals
Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019
Persistent link: https://www.econbiz.de/10012116201
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Prediction of stock price movement using continuous time models
Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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Likelihood inference for a COGARCH process using sequential Monte Carlo
Wee, Damien C.H.; Chen, Feng; Dunsmuir, William T.M. - In: Journal of financial econometrics 17 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012054439
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Who creates jobs? Estimating job creation rates at the firm level
Huber, Peter; Oberhofer, Harald; Pfaffermayr, Michael - 2013
This paper analyzes econometric models of the Davis, Haltiwanger and Schuh (1996) job creation rate. In line with the most recent job creation literature, we focus on employment-weighted OLS estimation. Our main theoretical result reveals that employment-weighted OLS estimation of DHS job...
Persistent link: https://www.econbiz.de/10010397027
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Maximum likelihood estimation of search costs
Moraga-González, José Luis; Wildenbeest, Matthijs R. - In: European economic review : EER 52 (2008) 5, pp. 820-848
Persistent link: https://www.econbiz.de/10003726374
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
Persistent link: https://www.econbiz.de/10003645182
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
Persistent link: https://www.econbiz.de/10003645197
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Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003783429
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Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
Nielsen, Morten Ørregaard (contributor);  … - 2005
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...
Persistent link: https://www.econbiz.de/10003780898
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Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036