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Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

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

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

Are you a good borrower? : mining interpretable pattern structures in credit scoring

Kuznecov, Sergej O.; Masyutin, Alexey; Ageev, Aleksandr - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 67-85

Purpose - The purpose of this study is to show that closure-based classification and regression models provide both high accuracy and interpretability. Design/methodology/approach - Pattern structures allow one to approach the knowledge extraction problem in case of partially ordered...

Persistent link: https://www.econbiz.de/10012514905

Assessment of economic security of enterprises : theoretical and methodological aspects

Shynkar, Svitlana; Gontar, Zoriana; Dubyna, Mariya; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 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/10012225140

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, 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/10012295878

Indirect inference with(out) constraints

Frazier, David T.; Renault, Eric - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 113-159

possibly strict inequality constraints g(β)>0, such as, when I‐I is based on GARCH auxiliary models. In these settings, we …

Persistent link: https://www.econbiz.de/10012202226

Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models

Qu, Zhongjun; Tkachenko, Denis - In: Quantitative economics : QE ; journal of the … 3 (2012) 1, pp. 95-132

This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second...

Persistent link: https://www.econbiz.de/10011756473

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 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/10011823357

A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise

Zu, Yang - In: Econometrics : open access journal 3 (2015) 3, pp. 561-576

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

Persistent link: https://www.econbiz.de/10011297541

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