With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...

This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and inference in a multidimensional dynamic stochastic general equilibrium model. We show that two forms of the classical score (Lagrange multiplier) test for a simple hypothesis...

Non-homogeneous regression models are widely used to statistically post-process numerical ensemble weather prediction models. Such regression models are capable of forecasting full probability distributions and correct for ensemble errors in the mean and variance. To estimate the corresponding...

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...

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

The Uniformly Minimum Variance Unbiased (UMVU) and the Maximum Likelihood (ML) estimations of R = P(X ≤ Y) and the associated variance are considered for independent discrete random variables X and Y. Assuming a discrete uniform distribution for X and the distribution of Y as a member of the...