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Rigamonti, Andrea; Ferrari, Davide; Weissensteiner, Alex; … - 2021

estimator (SSV) and a simple re-weighting scheme to compute the optimal portfolio weights. Beside relying on a fast estimation …

Persistent link: https://www.econbiz.de/10013237895

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121

Relating stochastic volatility estimation methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386124

Analysis of multiple long run relations in panel data models with applications to financial ratio

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025

linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

Persistent link: https://www.econbiz.de/10015409539

Bandwidth Selection for Estimators of Time-Varying Stochastic Coefficient Models

Grivas, Charisios; Psaradakis, Zacharias - 2023

A recent strand of the literature has proposed stochastic time-varying coefficient models for modelling structural change in the macroeconomy under both exogeneity and endogeneity. Subsequently, a new class of kernel based non-parametric estimators has been introduced for these models. These...

Persistent link: https://www.econbiz.de/10014356833

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Urga, Giovanni; Wang, Fa - 2023

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in …

Persistent link: https://www.econbiz.de/10014357821

Semiparametric Fractional Cointegration Analysis

Marinucci, D. - 2008

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference for testing the memory of observables and...

Persistent link: https://www.econbiz.de/10012771042

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

Gil-Alaña, L A - 2008

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle,...

Persistent link: https://www.econbiz.de/10012771049

Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-Augmented Regressions

Wang, Fa - 2020

This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...

Persistent link: https://www.econbiz.de/10012849457

Estimating Impulse Response Functions When the Shock Series is Observed

Choi, C. Y. - 2020

We compare the finite sample performance of a variety of consistent approaches to estimating Impulse Response Functions (IRFs) in a linear setup when the shock of interest is observed. Although there is no uniformly superior approach, iterated approaches turn out to perform well in terms of root...

Persistent link: https://www.econbiz.de/10012849624