Similar Search Results

Interaction Terms in Poisson and Log Linear Regression Models

Shang, Shengwu; Nesson, Erik; Fan, Maoyong - 2016

Binomial, and log linear models. We show why these interaction term coefficients cannot be interpreted as a DIS or … how interaction terms can be easily transformed into a DIS and derive the asymptotic distribution of this estimator. We …

Persistent link: https://www.econbiz.de/10014138521

Understanding Models and Model Bias with Gaussian Processes

Cook, Thomas R.; Palmer, Nathan - 2023

Despite growing interest in the use of complex models, such as machine learning (ML) models, for credit underwriting, ML models are difficult to interpret, and it is possible for them to learn relationships that yield de facto discrimination. How can we understand the behavior and potential...

Persistent link: https://www.econbiz.de/10014353867

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

The periodogram of spurious long-memory processes

Leschinski, Christian; Sibbertsen, Philipp - 2018

We derive the properties of the periodogram local to the zero frequency for a large class of spurious long-memory processes. The periodogram is of crucial importance in this context, since it forms the basis for most commonly used estimation methods for the memory parameter. The class considered...

Persistent link: https://www.econbiz.de/10011867706

Maximum likelihood estimation of stock volatility using jump-diffusion models

Chekenya, Nixon S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

Persistent link: https://www.econbiz.de/10012023360

Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

McCloskey, Adam - 2012 - This version: October 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator, showing substantial …

Persistent link: https://www.econbiz.de/10009660446

The geometric meaning of the notion of joint unpredictability of a bivariate VAR(1) stochastic process

Triacca, Umberto - In: Econometrics : open access journal 1 (2013) 3, pp. 207-216

This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.

Persistent link: https://www.econbiz.de/10010237098

A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant

Kim, Don H. - 2011

This paper develops a fast method for the computation of option prices for models whose characteristic function is time-consuming to compute due to the need to solve ordinary differential equations or difference equations numerically, which is the case for a wide class of models of stocks,...

Persistent link: https://www.econbiz.de/10013124219

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - 2021

We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood … Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the … IPA estimator has a smaller variance can yield sharper inequalities or be further relaxed. We also prove a practically …

Persistent link: https://www.econbiz.de/10013220887

Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

McCloskey, Adam - 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully … types of lowfrequency contamination. A simulation study examines the finite sample properties of the robust estimator …

Persistent link: https://www.econbiz.de/10013098304

1
2
3
4
5
6
7
8
9
10
Next
Last