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ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

examined through a Monte Carlo simulation. Also, some applications were presented using the energy series, bitcoin exchange …

Persistent link: https://www.econbiz.de/10013419429

Simulating properties of the likelihood ratio test for a unit root in an explosive second-order autoregression

Nielsen, Bent; Reade, J. James - In: Econometric reviews 26 (2007) 5, pp. 487-501

Persistent link: https://www.econbiz.de/10003549297

Moving forward : a simulation-based approach for solving dynamic resource management problems

Springborn, Michael R.; Faig, Amanda - In: Marine resource economics 34 (2019) 3, pp. 199-224

Persistent link: https://www.econbiz.de/10012109908

Current account deficit in Mauritius : risks and prospects

Khadaroo, Ahmad Jameel - In: The South African journal of economics 84 (2016) 1, pp. 109-128

Persistent link: https://www.econbiz.de/10011490600

Overnight Index Rate : model, calibration and simulation

Yashkir, Olga; Yashkir, Yuri - In: Cogent economics & finance 2 (2014) 1, pp. 2-11

In this study, the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. The...

Persistent link: https://www.econbiz.de/10010489795