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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
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Kaldor-Kalecki new model on business cycles
Orlando, Giuseppe - In: Nonlinearities in economics : an interdisciplinary …, (pp. 247-268). 2021
R.G. Goodwin mentioned that "economists will be led, as natural scientists have been led, to seek in nonlinearities an explanation of the maintenance of oscillation" (Goodwin, Econometrica 19(1), 1951); following this reasoning, we studied business cycles as if they were generated by nonlinear...
Persistent link: https://www.econbiz.de/10012648046
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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
need to use nonlinear models to describe business cycle dynamic behaviour. Their approach is model (estimation)-free, based … on testing only. The authors aim to maximize power to detect non-linearities and, simultaneously, they purport avoiding …
Persistent link: https://www.econbiz.de/10011596878
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A nonlinear model of asset returns with multiple shocks
Kahra, Hannu; Martin, Vance; Sarkar, Saikat - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012054867
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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - In: Applied economics 51 (2019) 22, pp. 2355-2376
Persistent link: https://www.econbiz.de/10012196696
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Modeling dynamic diurnal patterns in high frequency financial data
Ito, Ryoko - 2013
Persistent link: https://www.econbiz.de/10009737686
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Robust estimation of conditional variance of time series using density power divergences
Park, Jin‐Hong; Sriram, T. N. - In: Journal of forecasting 36 (2017) 6, pp. 703-717
Persistent link: https://www.econbiz.de/10011861411
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Traffic time series forecasting on highways : a contemporary survey of models, methods and techniques
Jayanthi, G.; Jothilakshmi, P. - In: International journal of logistics systems and … 39 (2021) 1, pp. 77-110
Persistent link: https://www.econbiz.de/10012599143
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Spurious inference in unidentified asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2014
This paper studies some seemingly anomalous results that arise in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments (GMM). Strikingly, when useless factors (that is, factors that are independent of the...
Persistent link: https://www.econbiz.de/10010395978