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Economic indicators for automobile claim frequencies
Boj, Eva; Castañer, Anna; Claramunt, Maria Mercè; … - In: Estudios de economía 46 (2019) 2, pp. 245-271
This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affec - ting claim frequencies, while controlling for other...
Persistent link: https://www.econbiz.de/10012268143
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Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
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The analysis of stochastic volatility in the presence of daily realised measures
Koopman, Siem Jan; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10010191086
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Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Economics letters 138 (2016), pp. 19-21
Persistent link: https://www.econbiz.de/10011615340
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Estimating and simulating Weibull models of risk or price durations : an application to ACD models
Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: The North American journal of economics and finance : a … 25 (2013), pp. 214-225
Persistent link: https://www.econbiz.de/10009779281
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Empirical characteristic function in time series estimation
Knight, John L.; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435272
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The Brownian bridge E-M algorithm for covariance estimation with missing data
Morokoff, William J. - In: The journal of computational finance 2 (1998/1999) 2, pp. 75-100
Persistent link: https://www.econbiz.de/10001633412
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Efficient likelihood inference in non stationary univariate models
Nielsen, Morten Ø. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001618114
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Empirical characteristic function in time series estimation
Knight, John L.; Yu, Jun - In: Econometric theory 18 (2002) 3, pp. 691-721
Persistent link: https://www.econbiz.de/10001673452