We show that the parameters of the DCC-GARCH model, proposed by Engle (2001) and by Engle and Sheppard (2001), can be derived from the estimated parameters of a VARMA model of the average conditional correlation process. This makes their estimation much easier

The purpose of this paper was to apply the econometric models with qualitative variables in order to analyze two non academic behaviors at the level of the Romanian higher education system: cheating on the exams by copying or by direct or intermediary intervention at the professor

Market risk can be described as potential losses in portfolio value caused by price changes in the investor's portfolio. Value-at-Risk (VaR) quantifies a loss bound that cannot be exceeded with a specified probability at a given time horizon, i.e., a quantile of the portfolio's loss...

Until recently, since Jobson amp; Korkie (1981) derivations of the asymptotic distribution of the Sharpe ratio that are practically useable for generating confidence intervals or for conducting one- and two-sample hypothesis tests have relied on the restrictive, and now widely refuted,...

This research identifies the presence of long memory given return series of the stock markets in the ASEAN-4 countries, namely, Indonesia, Malaysia, the Philippines and Thailand. Daily stock prices from 1994 to 2004, which were neither adjusted for dividends nor inflation, were employed in the...

Families of minimax estimators are found for the location parameter of a p-variate (pgt; or = 3) spherically symmetric unimodal(s.s.u.)distribution with respect to general quadratic loss. The estimators of James and Stein, Baranchik, Bock and Strawderman are all considered for this general...

Following the framework found in Oliva et al. 1987, GEMCAT II implements a felxible method to test catastrophe models containing multivariate (i.e., latent) variables while allowing for a prioi variable specifications. The system uses an efficient hybrid minimization algorithm combining the...

This paper discusses how real-life statistical analysis/inference deviates from ideal environments. More specifically, there often exist models that have equal statistical power as the actual data-generating model, given only limited information and information processing/computation capacity....

This paper investigates the effects of the Sarbanes-Oxley Act (SOX) on CEO compensation, using panel data constructed for the S&P 1500 firms on CEO compensation, financial returns, and reported accounting income. Empirically SOX (i) changes the relationship between a firm's abnormal returns and...