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Spectral Properties of Stationary Models
Marek, Luboš - In: Acta Oeconomica Pragensia 2007 (2007) 1, pp. 63-70
density and autocorrelation function of these stationary models. The spectrum has the typical shape for different models. This … shape depends on sign of parameters. On other side, from shape of spectrum we cannot derive the accurate type of model …, because the different models have the similar shape of spectrum. But the shape of spectrum is very important complementary …
Persistent link: https://www.econbiz.de/10005036431
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Lag order selection for an optimal autoregressive covariance matrix estimator
Morales, Marco - In: Journal of Applied Statistics 37 (2010) 5, pp. 739-748
A good parametric spectral estimator requires an accurate estimate of the sum of AR coefficients, however a criterion which minimizes the innovation variance not necessarily yields the best spectral estimate. This paper develops an alternative information criterion considering the bias in the...
Persistent link: https://www.econbiz.de/10008674913
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A frequency domain bootstrap for Whittle estimation under long-range dependence
Kim, Young Min; Nordman, Daniel J. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 405-420
Whittle estimation is a common technique for fitting parametric spectral density functions to time series, in an effort to model the underlying covariance structure. However, Whittle estimators from long-range dependent processes can exhibit slow convergence to their Gaussian limit law so that...
Persistent link: https://www.econbiz.de/10010608102
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Why Aggregate Long Memory Time Series?
Souza, Leonardo Rocha - In: Econometric Reviews 27 (2008) 1-3, pp. 298-316
This article shows that, for large samples, temporally aggregating a true long memory time series (in order to get an improved estimator) may make little or no sense, as the practitioner can get virtually the same estimates as those from the aggregated series by choosing the appropriate...
Persistent link: https://www.econbiz.de/10005511884
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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Optimal uncertainty size in distributionally robust inverse covariance estimation
Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621
Persistent link: https://www.econbiz.de/10012131899
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Statistical risk models
Kakushadze, Zura; Yu, Willie - In: The journal of investment strategies 6 (2017) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011668127
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
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Linear cholesky decomposition of covariance matrices in mixed models with correlated random effects
Rabe, Anasu; Shangodoyin, D. K.; Thaga, K. - In: Statistics in transition : an international journal of … 20 (2019) 4, pp. 59-70
induces significant correlation. Some difficulties encountered in these modelling procedures include high dimensionality and …
Persistent link: https://www.econbiz.de/10012158155
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A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651
Persistent link: https://www.econbiz.de/10011949857