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Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices
Roy, Subrata - In: Theoretical and applied economics : GAER review 28 (2021) 2/627, pp. 259-284
Persistent link: https://www.econbiz.de/10012693493
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Modellierung der Abhängigkeitsstruktur von Ausfallkörben : eine Betrachtung für den Spezialfall des Duo-Baskets
Lehmann, Christoph - 2016
Persistent link: https://www.econbiz.de/10013441241
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Is there Chaos on the German Labor Market? / Ist der deutsche Arbeitsmarkt chaotisch?
Neugart, Michael - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 658-673
test German labor market data for the null hypothesis of an i.i.d. process with the BDS test. As several processes … core to German labor market dynamics. Chaos does not occur.  … Arbeitsmarkt mit Hilfe des BDS Tests auf Nichtlinearitäten untersucht. Da der Nachweis deterministischer Nichtlinearitäten über den …
Persistent link: https://www.econbiz.de/10014608718
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Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach
Florian Heitger - 2010
Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...
Persistent link: https://www.econbiz.de/10009428980
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Evaluating a class of nonlinear time series models
Heinen, Florian - 2010
tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by …
Persistent link: https://www.econbiz.de/10010270400
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The dynamics of real exchange rates: A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10010289015
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Generalized autocontours : evaluation of multivariate density models
González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 31 (2015) 3, pp. 799-814
Persistent link: https://www.econbiz.de/10011474574
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Essays on nonlinear and explosive time series : with applications to financial markets
Kaufmann, Hendrik - 2014
Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias …
Persistent link: https://www.econbiz.de/10010395343
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Type II failure and specification testing in the stochastic frontier model
Papadopoulos, Alecos; Parmeter, Christopher F. - In: European journal of operational research : EJOR 293 (2021) 3, pp. 990-1001
Persistent link: https://www.econbiz.de/10012533797
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Deterministic chaos versus stochastic processes: An empirical study on the Austrian Schilling - US Dollar exchange rate
Crespo Cuaresma, Jesús - 1998
The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...
Persistent link: https://www.econbiz.de/10010291922