Similar Search Results - EconBiz

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

Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452

Persistent link: https://www.econbiz.de/10011348967

On testing the equality of mean and quantile effects

Bera, Anil K.; Galvão Júnior, Antônio Fialho; Wang, Liang - In: Journal of econometric methods 3 (2014) 1, pp. 47-62

Persistent link: https://www.econbiz.de/10010242083

Testing of the mean reversion parameter in continuous time models

Iglesias, Emma M. - In: Economics letters 122 (2014) 2, pp. 187-189

Persistent link: https://www.econbiz.de/10010395196

Optimal pooling and distributed inference for the tail index and extreme quantiles

Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022

Persistent link: https://www.econbiz.de/10013170008

Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors

Yang, Lixiong - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 533-551

Persistent link: https://www.econbiz.de/10012819480

Testing for state-dependent predictive ability

Fossati, Sebastian - 2017

Persistent link: https://www.econbiz.de/10011718491

Applicant reactions as a function of test length : is there reason to fret over using longer tests?

Speer, Andrew B.; King, Brandon S.; Grossenbacher, Michael - In: Journal of personnel psychology 15 (2016) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10011642498

Are linear models really unuseful to describe business cycle data?

Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017

on testing only. The authors aim to maximize power to detect non-linearities and, simultaneously, they purport avoiding …

Persistent link: https://www.econbiz.de/10011596878

Regression discontinuity designs with unknown state-dependent discontinuity points : estimation and testing

Yang, Lixiong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10012054886

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