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Clarke, Damian; Schythe, Kathya Tapia - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012270202

Interest premium and external position: A time varying approach

Kónya, István; Maduko, Franklin - 2018

The paper reexamines the empirical relationship between external indebtedness and the interest premium on government bonds. We use a broad sample of countries between 1980-2017 that includes advanced, emerging and less-developed economies. We show that the relationship is strongly...

Persistent link: https://www.econbiz.de/10012290276

Agile effort estimation in software development projects - case study

Łabędzki, Maciej; Promiński, Patryk; Rybicki, Adam; … - In: The Central European Review of Economics and Management … 1 (2017) 3, pp. 135-152

result of which estimation as part of the software development process is abandoned. The decision is usually justified by … misunderstanding "agility". This article is part of the discussion on current trends in estimation, especially in the context of the … development team. The author, on the basis of literature-based estimation techniques, shows good and bad practices, as well as …

Persistent link: https://www.econbiz.de/10012427219

Cost Function Estimation with Proportional Errors in Variables

Just, Richard E.; Pope, Rulon D. - In: International Econometric Review (IER) 4 (2012) 2, pp. 59-81

A model with proportional errors in variables arising naturally in microeconomics is considered. Unlike the classical additive errors case, all OLS parameter estimates exhibit attenuation bias that does not depend on the limiting distribution of the data. The distribution of OLS estimators is...

Persistent link: https://www.econbiz.de/10012610942

Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study

Eratalay, M. Hakan - In: International Econometric Review (IER) 8 (2016) 2, pp. 19-52

In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our...

Persistent link: https://www.econbiz.de/10012610961

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16

corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …

Persistent link: https://www.econbiz.de/10012610989

A new generalization of the pareto distribution and its application to insurance data

Ghitany, Mohamed E.; Gómez-Déniz, Emilio; Nadarajah, … - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-14

The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. In the last years, many alternative distributions have been proposed to obtain...

Persistent link: https://www.econbiz.de/10012610998

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …

Persistent link: https://www.econbiz.de/10012611124

An universal, simple, circular statistics-based estimator of » for symmetric stable family

SenGupta, Ashis; Roy, Moumita - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-28

The aim of this article is to obtain a simple and efficient estimator of the index parameter of symmetric stable distribution that holds universally, i.e., over the entire range of the parameter. We appeal to directional statistics on the classical result on wrapping of a distribution in...

Persistent link: https://www.econbiz.de/10012611212

A frequentist alternative to significance testing, p-values, and confidence intervals

Trafimow, David - In: Econometrics 7 (2019) 2, pp. 1-14

There has been much debate about null hypothesis significance testing, p-values without null hypothesis significance testing, and confidence intervals. The first major section of the present article addresses some of the main reasons these procedures are problematic. The conclusion is that none...

Persistent link: https://www.econbiz.de/10012696241