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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Simple and trustworthy cluster-robust GMM inference
Hwang, Jungbin - 2017
Persistent link: https://www.econbiz.de/10011785481
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A comparison of the method of moments estimator and maximum likelihood estimator for the success probability in the Fibonacci-type probability distribution
Kwon, Yeil - In: Statistics in transition : an international journal of … 23 (2022) 3, pp. 27-47
A Fibonacci-type probability distribution provides the probabilistic models for establishing stopping rules associated with the number of consecutive successes. It can be interpreted as a generalized version of a geometric distribution. In this article, after revisiting the Fibonacci-type...
Persistent link: https://www.econbiz.de/10013428842
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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From correlation to distributed contiguities : a family of AR-C-D autocorrelation processes
Blum, Ulrich; Bolduc, Denis; Gaudry, Marc J. I. - 1995
Persistent link: https://www.econbiz.de/10000554633
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Minimum distance estimation of the spatial panel autoregressive model
Azomahou, Théophile - In: Cliometrica : journal of historical economics and … 2 (2008) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10003664278
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Outlier detection in the lognormal logarithmic conditional autoregressive range model
Chiang, Min-Hsien; Chou, Ray Yeutien; Wang, Li-Min - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 126-144
Persistent link: https://www.econbiz.de/10011494656
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From correlation to distributed contiguities : a family of AR-C-D autocorrelation processes
Blum, Ulrich; Bolduc, Denis; Gaudry, Marc J. I. - 1995
Persistent link: https://www.econbiz.de/10000923154
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Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei; Kruse-Becher, Robinson - 2021
Persistent link: https://www.econbiz.de/10012620758
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The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.; Iglesias, Emma M. - In: Journal of financial econometrics 20 (2022) 1, pp. 139-159
Persistent link: https://www.econbiz.de/10012878189