Narrow search
Showing 1 - 10 of 7,127
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
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Cover Image
Simple procedures for testing autoregressive versus moving average errors in regression models
McKenzie, Colin; McAleer, Michael; Gill, Len - 1990 - Rev
Persistent link: https://www.econbiz.de/10000799442
Cover Image
Simple procedures for testing autoregressive versus moving average errors in regression models
MacKenzie, Colin R.; McAleer, Michael; Gill, Len - 1990
Persistent link: https://www.econbiz.de/10000129167
Cover Image
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - 2016 - This version: January 2, 2016
We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed … the Maximum Likelihood (ML) estimator in Monte Carlo simulation experiments. The ML estimate is computed with a simulation …
Persistent link: https://www.econbiz.de/10011518987
Cover Image
Modeling tail risks of inflation using unobserved component quantile regressions
Pfarrhofer, Michael - In: Journal of economic dynamics & control 143 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013543015
Cover Image
Chapter 8 Forecasting economic variables with nonlinear models
Teräsvirta, Timo - 2006
building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating … have been developed in order to work in this situation are described. The chapter also contains a simulation study showing …
Persistent link: https://www.econbiz.de/10014023698
Cover Image
Essays in statistical estimation and a stochastic application to financial markets
Huang, Jing - 2018
Persistent link: https://www.econbiz.de/10012183865
Cover Image
Testing for a unit root in a nonlinear quantile autoregression framework
Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892
Persistent link: https://www.econbiz.de/10012040418
Cover Image
Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214