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The GJR GARCH(1,1) Process As Regularly Varying : Implications for Efficient Model Estimation and Risk Measurement
Prono, Todd - 2018
Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...
Persistent link: https://www.econbiz.de/10012933309
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A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul; Zhong, Molin - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
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Empirical evaluation of overspecified asset pricing models
Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - 2017
Persistent link: https://www.econbiz.de/10011686422
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Empirical evaluation of overspecified asset pricing models
Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - 2017
Persistent link: https://www.econbiz.de/10011708502
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Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru
Alvarado, Mauricio; Rodriguez, Gabriel - 2024 - This version: November 27, 2023
Persistent link: https://www.econbiz.de/10014526328
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Macroeconomic uncertainty and vector autoregressions
Forni, Mario; Gambetti, Luca; Sala, Luca - 2021
Persistent link: https://www.econbiz.de/10012417673
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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677
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Nonparametric estimation and testing of stochastic discount factor
Fang, Ying; Ren, Yun; Yuan, Yufei - In: Finance research letters 8 (2011) 4, pp. 196-205
Persistent link: https://www.econbiz.de/10009425853
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A new linear estimator for Gaussian dynamic term structure models
Díez de los Ríos, Antonio - 2013
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that … asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and …
Persistent link: https://www.econbiz.de/10009734347
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New estimates of time-varying currency betas : a trivariate BEKK approach
Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139
Persistent link: https://www.econbiz.de/10010478223