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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

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

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

Persistent link: https://www.econbiz.de/10011477452

Nonstationary ARCH and GARCH with t-Distributed Innovations

Pedersen, Rasmus Søndergaard; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 2015

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH … and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the …

Persistent link: https://www.econbiz.de/10011265726

Forward-Looking Beta Estimates:Evidence from an Emerging Market

Onour, Ibrahim - 2008

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...

Persistent link: https://www.econbiz.de/10015216710

Maximum Likelihood Estimation of the Multivariate Normal Mixture Model

Boldea, Otilia; Magnus, Jan R. - 2009

The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments....

Persistent link: https://www.econbiz.de/10015221913

Prediction for the 2020 United States Presidential Election using Machine Learning Algorithm: Lasso Regression

Sinha, Pankaj; Verma, Aniket; Shah, Purav; Singh, Jahnavi; … - 2020

This paper aims at determining the various economic and non-economic factors that can influence the voting behaviour in the forthcoming United States Presidential Election using Lasso regression, a Machine learning algorithm. Even though contemporary discussions on the subject of the United...

Persistent link: https://www.econbiz.de/10015223839

Prediction for the 2020 United States Presidential Election using Linear Regression Model

Sinha, Pankaj; Verma, Aniket; Shah, Purav; Singh, Jahnavi; … - 2020

The paper identifies various crucial factors, economic and non-economic, essential for predicting the 2020 United States presidential election results. Although it has been suggested by the contemporary discussions on the subject of United States presidential election that inflation rate,...

Persistent link: https://www.econbiz.de/10015223840

Deterministic and stochastic trends in the time series models: A guide for the applied economist

Rao, B. Bhaskara - 2007

Applied economists working with time series data face a dilemma in selecting between models with deterministic and stochastic trends. While models with deterministic trends are widely used, models with stochastic trends are not so well known. In an influential paper Harvey (1997) strongly...

Persistent link: https://www.econbiz.de/10015230022

An inflation expectations horserace

Guzman, Giselle C. - 2010

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

Persistent link: https://www.econbiz.de/10015230546