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An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

Persistent link: https://www.econbiz.de/10010355970

Expectations, risk premia and information spanning in dynamic term structure model estimation

Guimarães, Rodrigo - 2014

Persistent link: https://www.econbiz.de/10010356924

Dynamic factor models : a review of the literature

Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent - In: Journal of business cycle measurement and analysis : a … (2013) 2, pp. 73-107

Persistent link: https://www.econbiz.de/10010418850

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121

The role of uncertainty in the term structure of interest rates : a GERCH-ATSM approach

Koeda, Junko; Kato, Ryo - In: Applied economics 47 (2015) 34/36, pp. 3710-3722

Persistent link: https://www.econbiz.de/10011293453

A WTP-choice model : empirical validation, competitive and centralized pricing

Gupta, Varun; Çakanyıldırım, Metin - In: Production and operations management : an international … 25 (2016) 11, pp. 1866-1884

Persistent link: https://www.econbiz.de/10011626757

Multi-period structural model of a mortgage portfolio with cointegrated factors

Gapko, Petr; Šmíd, Martin - In: Finance a úvěr 66 (2016) 6, pp. 565-574

Persistent link: https://www.econbiz.de/10011582648

Gravity, distance, and international trade

Baier, Scott L.; Kerr, Amanda; Yotov, Yoto V. - 2017

We review and interpret the main theoretical developments in the gravity literature from its very early, a-theoretical applications to the latest structural contributions. We also discuss challenges and implement methods to estimate empirical gravity equations. We finish with a presentation and...

Persistent link: https://www.econbiz.de/10011611143

Dynamic decisions under subjective expectations : a structural analysis

An, Yonghong; Hu, Yingyao; Xiao, Ruli - 2018

primitives using maximum likelihood estimation and illustrate the good performance of estimators using Monte Carlo experiments …

Persistent link: https://www.econbiz.de/10011788334

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