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Empirical likelihood for value-at-risk and expected shortfall

Baysal, Rafet Evren; Staum, Jeremy - In: Journal of risk 11 (2008/09) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10003775644

The spatial random effects and the spatial fixed effects model : the Hausman test in a Cliff and Ord panel model

Mutl, Jan; Pfaffermayr, Michael - 2008

Persistent link: https://www.econbiz.de/10003776267

Estimation of a generalized random-effects model : some ECME algorithms and Monte Carlo evidence

Phillips, Robert F. - In: Journal of economic dynamics & control 28 (2004) 9, pp. 1801-1824

Persistent link: https://www.econbiz.de/10001998504

A Monte Carlo EM algorithm to estimate structural equation systems with unobserved information

Ramírez, Ricardo Smith - 2005

Persistent link: https://www.econbiz.de/10003329558

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the US gasoline market

Radchenko, Stanislav; Tsurumi, Hiroki - In: Journal of econometrics 133 (2006) 1, pp. 31-49

Persistent link: https://www.econbiz.de/10003354223

Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305

Persistent link: https://www.econbiz.de/10003354577

A fast subsampling method for nonlinear dynamic models

Hong, Han; Scaillet, Olivier - In: Journal of econometrics 133 (2006) 2, pp. 557-578

Persistent link: https://www.econbiz.de/10003359579

Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler?

Gschlößl, Susanne (contributor); … - 2005 - Rev.

In this paper we present and evaluate a Gibbs sampler for a Poisson regression model including spatial effects. The approach is based on Frühwirth-Schnatter and Wagner (2004b) who show that by data augmentation using the introduction of two sequences of latent variables a Poisson regression...

Persistent link: https://www.econbiz.de/10003309987

Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

Persistent link: https://www.econbiz.de/10003331375

Minimum distance estimation of stationary and non-stationary ARFIMA processes

Mayoral, Laura (contributor) - 2006

Persistent link: https://www.econbiz.de/10003331959