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A conditional distribution mod...
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ECONIS (ZBW)
2,542
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1
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
, namely,
GARCH
(1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011794257
Saved in:
2
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai
;
Cremers, Heinz
;
Sanddorf, Walter
-
2014
GARCH
models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
Saved in:
3
Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
-
2015
heteroscedasticity (
GARCH
)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory
GARCH
-type models coming out second best. …
Persistent link: https://www.econbiz.de/10010488966
Saved in:
4
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone
;
Nguyen, Hoang
;
Minh-Ngoc Tran
-
2023
such as Generalized Autoregressive Conditional Heteroskedastic (
GARCH
), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for
GARCH
-type models while offering only a marginal improvement for GAS and SV …
Persistent link: https://www.econbiz.de/10014252427
Saved in:
5
Real-time nowcasting Growth-at-Risk using the Survey of Professional Forecasters
Schick, Manuel
-
2024
Forecasters (SPF) in the US. Incorporating SPF consensus forecasts into the conditional mean of an AR-
GARCH
type model …
Persistent link: https://www.econbiz.de/10014578011
Saved in:
6
Order invariant evaluation of multivariate density forecasts
Dovern, Jonas
;
Manner, Hans
-
2016
Simulation as well as two applications based on multivariate
GARCH
-based models for stock market returns and on a macroeconomic …
Persistent link: https://www.econbiz.de/10011453093
Saved in:
7
EuroMInd-D : a density estimate of monthly gross domestic product for the euro area
Proietti, Tommaso
;
Marczak, Martyna
;
Mazzi, Gian Luigi
-
2015
EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model of...
Persistent link: https://www.econbiz.de/10010502772
Saved in:
8
Order invariant tests for proper calibration of multivariate density forecasts
Dovern, Jonas
;
Manner, Hans
-
2018
. We use the tests to evaluate
GARCH
-based multivariate density forecasts for a vector of stock market returns. …
Persistent link: https://www.econbiz.de/10011845266
Saved in:
9
Is the Pareto-Lévy law a good representation of income distributions?
Dagsvik, John K.
;
Jia, Zhiyang
;
Vatne, Bjørn Helge
; …
-
2011
Mandelbrot (1960) proposed using the so-called Pareto-Lévy class of distributions as a framework for representing income distributions. We argue in this paper that the Pareto-Lévy distribution is an interesting candidate for representing income distribution because its parameters are easy to...
Persistent link: https://www.econbiz.de/10009407916
Saved in:
10
Model choice and size distribution : a Bayequentist approach
Engler, John-Oliver
;
Baumgärtner, Stefan
-
2013
We propose a new three-step model-selection framework for size distributions in empirical data. It generalizes a recent frequentist plausibility-of-fit analysis (Step 1) and combines it with a relative ranking based on the Bayesian Akaike Information Criterion (Step 2). We enhance these...
Persistent link: https://www.econbiz.de/10009712517
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