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Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365495

On the Kavya-Manoharan-Burr X model : estimations under ranked set sampling and applications

Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20

A new two-parameter model is proposed using the Kavya-Manoharan (KM) transformation family and Burr X (BX) distribution. The new model is called the Kavya-Manoharan-Burr X (KMBX) model. The statistical properties are obtained, involving the quantile (QU) function, moment (MOs), incomplete MOs,...

Persistent link: https://www.econbiz.de/10014295425

Conditional increments of aggregate discounted claims with a trend

Léveillé, Ghislain; Mitric, Ilie Radu - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 388-410

Persistent link: https://www.econbiz.de/10014336395

A closed-form estimator for the Markov switching in mean model

Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014495068

Indirect inference and small sample bias - some recent results

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2023

Macroeconomic researchers use a variety of estimators to parameterise their models empirically. One such is FIML; another is a form of indirect inference we term "informal" under which data features are "targeted" by the model -i.e. parameters are chosen so that model-simulated features...

Persistent link: https://www.econbiz.de/10014440828

Targeting moments for calibration compared with indirect inference

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2022

of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an … Inference, FII, chooses a set of moments as the auxiliary model and computes the Wald statistic for the joint distribution of … these moments according to the structural DSGE model; it tests the model according to the probability of obtaining the data …

Persistent link: https://www.econbiz.de/10014433313

The role of fiscal policy : a survey of recent empirical findings

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2023

DSGE models based on New Keynesian principles, which have been extended to allow for banking, the zero lower bound on interest rates (ZLB), and varying price duration, can account well for recent macroeconomic behavior across a variety of economies. These models Önd that active Öscal policy...

Persistent link: https://www.econbiz.de/10014433366

The moments of the time of ruin in Sparre Andersen risk models

Dickson, David C. M. - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 63-82

Persistent link: https://www.econbiz.de/10014306859

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2

Hurn, Stan; Jeisman, J.; Lindsay, K.A. - National Centre for Econometric Research (NCER) - 2006

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed form expression for the transitional probability density function of the process is not available. As a result, a...

Persistent link: https://www.econbiz.de/10005766333

Some results on the scalar Skew-normal distribution

Chiogna, Monica - In: Statistical Methods and Applications 7 (1998) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10008497279