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Exact sampling from the stationary distribution of entry-exit models

Kamihigashi, Takashi; Stachurski, John - 2013

Persistent link: https://www.econbiz.de/10009715087

Partial identification of finite mixtures in econometric models

Henry, Marc; Kitamura, Yuichi; Salanié, Bernard - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 123-144

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Distributional tests in multivariate dynamic models with normal and student-t innovations

Mencía, Javier; Sentana, Enrique - In: The review of economics and statistics 94 (2012) 1, pp. 133-152

Persistent link: https://www.econbiz.de/10009565390

Posterior consistency in conditional density estimation by covariate dependent mixtures

Norets, Andriy; Pelenis, Justinas - 2011

This paper considers Bayesian nonparametric estimation of conditional densities by countable mixtures of location-scale densities with covariate dependent mixing probabilities. The mixing probabilities are modeled in two ways. First, we consider finite covariate dependent mixture models, in...

Persistent link: https://www.econbiz.de/10009685479

Multifractal volatility : theory, forecasting, and pricing

Calvet, Laurent E.; Fisher, Adlai - 2008

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Econometric modeling : a likelihood approach

Hendry, David F.; Nielsen, Bent - 2007

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue … economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of … available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as …

Persistent link: https://www.econbiz.de/10003399101

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review

Wirjanto, Tony S. - 2013

) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes … econometrics …

Persistent link: https://www.econbiz.de/10013084062

Estimation of Heterogeneous Agent Models : A Likelihood Approach

Parra-Alvarez, Juan Carlos - 2020

We study the statistical properties of heterogeneous agent models. Using a Bewley-Hugget-Aiyagari model we compute the density function of wealth and income and use it for likelihood inference. We study the finite sample properties of the maximum likelihood estimator (MLE) using Monte Carlo...

Persistent link: https://www.econbiz.de/10012826224

Estimation of Heterogeneous Agent Models : A Likelihood Approach

Parra-Alvarez, Juan Carlos - 2020

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

Persistent link: https://www.econbiz.de/10012853321

Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

Bee, Marco; Hambuckers, J.; Trapin, L. - In: Quantitative finance 21 (2021) 7, pp. 1207-1221

Persistent link: https://www.econbiz.de/10012588037