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Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

This is an R tutorial book for Financial Econometrics …

Persistent link: https://www.econbiz.de/10013223934

Rasch, Frisch, and Two Fishers : A Social History of the Econometric Origins of Some Widely Used Psychometric Models

Fisher, William P. - 2011

econometrics than has yet been accorded …

Persistent link: https://www.econbiz.de/10013132627

Separation Theorems in Econometrics and Psychometrics : Rasch, Frisch, two Fishers, and Implications for Measurement

Fisher, William P. <Jr.> - 2021

continues to be relevant in econometrics, and interest in Rasch’s separability theorem is growing as the measurement models …

Persistent link: https://www.econbiz.de/10013214837

Econometrics and Reality

Hoover, Kevin D. - 2008

Starting with a realist ontology the economic methodologist, Tony Lawson, argues that econometrics is a failed project …. Apparently more sympathetic to econometrics, the philosopher of science, Nancy Cartwright, again from a realist perspective … econometrics. In this paper, I reconsider Lawson's and Cartwright's analyses and argue that realism supports rather than undermines …

Persistent link: https://www.econbiz.de/10014071575

Probability and Structure in Econometric Models

Hoover, Kevin D. - 2009

understanding of the possibilities for passive observation of causal structure in econometrics and related areas of Nancy Cartwright …

Persistent link: https://www.econbiz.de/10012721030

Large Deviations of Realized Volatility

Kanaya, Shin; Otsu, Taisuke - 2011

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. We establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Our...

Persistent link: https://www.econbiz.de/10014182566

Theoretical Modeling of AIDS Infections and Disease Persistence

Mohamed, Issam A.W - 2012

We argue in this paper that it is more feasible to use binary variables and logistic regression analyses in the assessments of AIDS incidents o or other similar researches in social science. Thus, even in measuring disease persistence we can reach solid and comprehensive results. Statistical...

Persistent link: https://www.econbiz.de/10014041020

Regression Analysis of Asymmetric Pairs in Large-Scale Network Data

Pan, Rui; Wang, Hansheng; Tsai, Chih-Ling - 2011

In social network analysis, many estimation methods have been developed over the past three decades. Due to the computational complexity for analyzing large-scale social network data, however, those methods cannot be applied effectively. On the other hand, the structure of large-scale network...

Persistent link: https://www.econbiz.de/10014042458

Yukalov, Vyacheslav I. - 2009

A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the Law of Self-Similar Evolution, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution...

Persistent link: https://www.econbiz.de/10014046821

Dynamic Hierarchical Factor Models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2011

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10014199839