Found 113 Documents (Results 1–100)
In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time. (English) Zbl 1541.62382
Realized BEKK-CAW models. (English) Zbl 1541.62213
On a different way of understanding the edge-effect for the inference of ARMA-type processes (in \(\mathbb{Z}^d\)). (English) Zbl 1542.62113
Estimating impulse-response functions for macroeconomic models using directional quantiles. (English) Zbl 1541.62232
Estimation of continuous and discrete time co-integrated systems with stock and flow variables. (English) Zbl 1541.62359
A general frequency domain estimation method for Gegenbauer processes. (English) Zbl 1541.62222
MSC:
62M10
Exchange rate forecasting using ensemble modeling for better policy implications. (English) Zbl 1541.62247
Consumption, aggregate wealth and expected stock returns: an FCVAR approach. (English) Zbl 1541.62378
A comparison of Hurst exponent estimators in long-range dependent curve time series. (English) Zbl 1494.62019
Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals. (English) Zbl 1541.62217
INAR(1) processes with inflated-parameter generalized power series innovations. (English) Zbl 1541.62227
MSC:
62M10
A flexible mixed-frequency vector autoregression with a steady-state prior. (English) Zbl 1541.62211
Cointegrated dynamics for a generalized long memory process: application to interest rates. (English) Zbl 1494.62024
Checking model adequacy for count time series by using Pearson residuals. (English) Zbl 1494.62020
MSC:
62M10
Forecasting volatility returns of oil price using gene expression programming approach. (English) Zbl 1541.62276
Local lagged adapted generalized method of moments: an innovative estimation and forecasting approach and its applications. (English) Zbl 1541.62235
Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model. (English) Zbl 1541.62218
Methods for computing numerical standard errors: review and application to value-at-risk estimation. (English) Zbl 1499.62294
A flexible observation-driven stationary bivariate negative binomial INAR(1) with non-homogeneous levels of over-dispersion. (English) Zbl 1499.62313
What proportion of time is a particular market inefficient? … A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions. (English) Zbl 1462.62713
The Chow-Lin method extended to dynamic models with autocorrelated residuals. (English) Zbl 1499.62318
A generalized ARFIMA model with smooth transition fractional integration parameter. (English) Zbl 1499.62300
Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors. (English) Zbl 1499.62232
The impact of the initial condition on covariate augmented unit root tests. (English) Zbl 1499.62288
Signal extraction for nonstationary time series with diverse sampling rules. (English) Zbl 1499.62325
International mobility of capital in the United States: robust evidence from time-series tests. (English) Zbl 1462.62736
Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics. (English) Zbl 1499.62298
Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox. (English) Zbl 1417.60066
An improved selection test between autoregressive and moving average disturbances in regression models. (English) Zbl 1499.62227
Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null. (English) Zbl 1499.62292
Recursive adjustment for general deterministic components and improved cointegration rank tests. (English) Zbl 1499.62299
Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return. (English) Zbl 1462.62739
Long memory and asymmetry for matrix-exponential dynamic correlation processes. (English) Zbl 1499.62296
Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations. (English) Zbl 1418.62055
Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects. (English) Zbl 1499.62317
Bias correction of KPSS test with structural break for reducing of size distortion. (English) Zbl 1499.62323
Estimation bias and feasible conditional forecasts from the first-order moving average model. (English) Zbl 1499.62297
A hybrid data cloning maximum likelihood estimator for stochastic volatility models. (English) Zbl 1458.62251
A covariate residual-based cointegration test applied to the CDS-bond basis. (English) Zbl 1462.62720
Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations. (English) Zbl 1462.62726
Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions. (English) Zbl 1499.62293
On the irrelevance of impossibility theorems: the case of the long-run variance. (English) Zbl 1266.62009
Modeling the volatility-return trade-off when volatility may be nonstationary. (English) Zbl 1266.91066
Periodicity, non-stationarity, and forecasting of economic and financial time series: editors’ introduction. (English) Zbl 1266.91003
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