Similar Search Results

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

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

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

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

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

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

Modeling dynamic diurnal patterns in high frequency financial data

Ito, Ryoko - 2013

Persistent link: https://www.econbiz.de/10009737686

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

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

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2011

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …

Persistent link: https://www.econbiz.de/10010282865

1
2
3
4
5
6
7
8
9
10
Next
Last