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Gibbs posterior inference on value-at-risk

Syring, Nicholas; Hong, Liang; Martin, Ryan - In: Scandinavian actuarial journal 2019 (2019) 7, pp. 548-557

Persistent link: https://www.econbiz.de/10012194974

Minimum distance estimation of search costs using price distribution

Sanches, Fábio Miessi; Junior, Daniel Silva; Srisuma, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 658-671

Persistent link: https://www.econbiz.de/10012249230

Higher order bias correcting moment equation for M-estimation and its higher order efficiency

Kim, Kyoo Il - In: Econometrics : open access journal 4 (2016) 4, pp. 1-19

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias-corrected estimator and the alternative estimator and...

Persistent link: https://www.econbiz.de/10011650483

Identification and estimation in panel models with overspecified number of groups

Liu, Ruiqi; Shang, Zuofeng; Zhang, Yonghui; Zhou, Qiankun - In: Journal of econometrics 215 (2020) 2, pp. 574-590

Persistent link: https://www.econbiz.de/10012439568

Modeling and forecasting realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian - In: Journal of banking & finance 138 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013461907

Robust inference for nonstationary time series with possibly multiple changing periodic structures

Wang, Shouxia; Huang, Tao; You, Jinhong; Cheng, Ming-Yen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1718-1731

Persistent link: https://www.econbiz.de/10013540474