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Measuring the Correlation of Shocks Between the UK and the Core of Europe
Hall, S.G.; Yhap, B. - In: Journal for Economic Forecasting 5 (2008) 1, pp. 17-26
European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a …
Persistent link: https://www.econbiz.de/10005272653
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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …
Persistent link: https://www.econbiz.de/10012696326
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …
Persistent link: https://www.econbiz.de/10012547429
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Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011482561
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011477452
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Parametric inference for index functionals
Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11
In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...
Persistent link: https://www.econbiz.de/10011995222
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Indirect inference with(out) constraints
Frazier, David T.; Renault, Eric - In: Quantitative Economics 11 (2020) 1, pp. 113-159
estimated subject to q possibly strict inequality constraints g(Ø)>0, such as, when I-I is based on GARCH auxiliary models. In …
Persistent link: https://www.econbiz.de/10012215414
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Indirect inference estimation of spatial autoregressions
Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics 8 (2020) 3, pp. 1-26
The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...
Persistent link: https://www.econbiz.de/10012696297
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Assessment of economic security of enterprises: Theoretical and methodological aspects
Shynkar, Svitlana; Gontar, Zoriana; Dubyna, Mariya; … - In: Verslas: Teorija ir praktika / Business: Theory and Practice 21 (2020) 1, pp. 261-271
The main objective of the study is to formulate a new approach of assessing economic security for industrial enterprises, indicating a different approach from existing ones, to allow for the very specifics of economic activity, and to allow the use of qualitative and quantitative indicators. We...
Persistent link: https://www.econbiz.de/10012703594