Search Results

Bootstrap Bandwidth Selection in Kernel Density Estimation from a Contaminated Sample,
A. Delaigle and I. Gijbels, from Catholique de Louvain - Institut de statistique (2001)
Keywords: EVALUATION ; BANDWIDTH ; BOOTSTRAP

Crash Testing German Banks,
Klaus Duellmann and Martin Erdelmeier, in International Journal of Central Banking (2009)

Métodos de imputación para el tratamiento de datos faltantes: aplicación mediante R/Splus = Imputation methods to handle the problem of missing data: an application using R/Splus,
Juan Francisco Muñoz Rosas and Encarnación Alvarez Verdejo, in Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration (2009)
Keywords: información auxiliar; encuesta; probabilidades de inclusión; mecanismo de respuesta; auxiliary information; survey; inclusion probabilities; response mechanism

The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR,
Klaudia Jarno and £ukasz Smaga, in Journal of Banking and Financial Economics (2020)
Keywords: Bootstrap, confidence intervals, Sharpe ratio, TailVaR, stock market index

Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions,
Mohammad Taremi, Farzad Esksndari and Mohammad Bameni Moghadam, in Journal of Money and Economy (2016)
Keywords: DSGE Model, Identifiability, Monte Carlo Simulation

DESIGN OF A INVESTMENT PORTFOLIO USING NON-LINEAR PROGRAMMING: CASE OF COLOMBIA 2013-2014, DISENO DE UN PORTAFOLIO DE INVERSION A PARTIR DE UN MODELO DE PROGRAMACION NO LINEAL: CASO COLOMBIA 2013-2014,
John Dairo Ramirez Aristizabal and Eduardo Alexander Duque Grisales, in Revista Internacional Administracion & Finanzas (2016)
Keywords: Portfolio Investment, Nonlinear Programming, Risk Aversion, Financial Assets

Application of Kernel Estimators to Estimation Efficiency of Active Labor Market Programs,
Dominik Sliwicki, in Acta Universitatis Nicolai Copernici, Ekonomia (2014)
Keywords: net effectiveness of labor market programs, kernel estimator

Square Density Weighted Average Derivatives Estimation of Single Index Models,
Myung Jae Sung, in Korean Economic Review (2014)
Keywords: Index Coefficients, Square Density Weighting, Average Derivatives, Kernel, Nonparametric

Adaptive Non-Parametric Instrumental Regression in the Presence of Dependence,
Nicolas Asin and Jan Johannes, in Annals of Economics and Statistics (2017)
Keywords: Non-Parametric Regression, Instrumental Variable, Dependence, Mixing, Minimax Theory, Adaptive.

Sermaye yapısı bileşenleri: kantil regresyon modeli,
Ebru Çağlayan, in Iktisat Isletme ve Finans (2006)
Keywords: sermaye yapısı, kantil regresyon, medyan regresyon

Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas,
Adán Díaz Hernández and José C. Ramírez Sánchez, in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) (2008)
Keywords: Capital Económico, Riesgo de Crédito, Cópulas, Valores Extremos

Volatility estimation based on extremes of the bridge (in Russian),
Svetlana Lapinova, Alexander Saichev and Maria Tarakanova, in Quantile (2012)
Keywords: volatility, volatility estimators, efficiency, bias, extremes of Brownian motion

СТОЙНОСТ ПОД РИСК, КОХЕРЕНТНИТЕ АЛТЕРНАТИВИ CVAR И EVAR – ПОЛЗИ И ПРИЛОЖИМОСТ,
Даниел Николаев, in Almanac of PhD Students (2017)
Keywords: стойност под риск (VaR), условна стойност под риск (CVaR), ентропична стойност под риск (EVaR), рисков измерител, кохерентен рисков измерител

Labour Force Estimates for Small Geographical Domains in Italy: Problems, Data and Models,
Nicola Torelli and Matilde Trevisani, in Rivista Internazionale di Scienze Sociali (2008)
Keywords: Small Area Estimation, Bayesian hierarchical models, count data, local labour markets, spatial misalignment

EXAMINING OF THE RELATIONSHIP STRUCTURE BETWEEN JOB AND SPECIAL LIFE (NONWORK) SATISFACTION WITH NONLINEAR CANONICAL CORRELATION ANALYSIS,
Sahamet Bulbul and Selay Giray, in Anadolu University Journal of Social Sciences (2012)
Keywords: Multivariate analysis, nonlinear canonical correlation analysis, life satisfaction.

Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models,
Fernanda Maria Muller and Fábio Mariano Bayer, in Brazilian Review of Finance (2015)
Keywords: Beta-Skew-t-EGARCH, maximum likelihood estimator, Monte Carlo simulation, likelihood ratio test, volatility

ESTIMATING THE REAL EFFECTIVE EXCHANGE RATE VOLATILITY WITH ARCH AND GARCH MODELS,
Serife Ozsahin and Dogan Uysal, in Anadolu University Journal of Social Sciences (2012)
Keywords: Real effective exchange rate, volatility, ARIMA, ARCH and GARCH

Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock,
João Gabe and Marcelo Savino Portugal, in Brazilian Review of Finance (2004)
Keywords: volatility, options, conditional variance, FIGARCH, Black-Scholes

The Assessment of Polish Bank Sector Condition on the Basis of Swap Spreads,
Piotr Ryszard Pluciennik, in Acta Universitatis Nicolai Copernici, Ekonomia (2015)
Keywords: swap spread, liquidity premium, credit risk, yield curve, Markov switching models

A Simple GCV Method of Span Selection for Periodigram Smoothing,
H.C. Ombao, J.A. Raz, R.L. Strawderman and R. von Sachs, from Catholique de Louvain - Institut de statistique (1999)
Keywords: TIME SERIES ; ESTIMATOR ; ECONOMETRICS

Re-gendering globalization: Overcoming the phenomenon of gendering globalization,
Sadia Afrin, Mahmudul Hasan Fouiji and Muhammad Raquib, in Journal of Economic and Financial Studies (JEFS) (2015)
Keywords: Development; Globalization; Gender; Re-Gendering.

TIME VARYING AND ASYMMETRIC EFFECT BETWEEN OIL PRICES AND NOMINAL EXCHANGE RATE VOLATILITY: A MULTIVARIATE FIEGARCH-DCC APPROACH,
Riadh El Abed, in Journal of Academic Research in Economics (2017)
Keywords: DCC-FIEGARCH, Asymmetries, Long memory, nominal exchange rate and Crude oil.

AN ARDL MODEL OF TOURISM DEMAND FOR MALAYSIA,
Norlida Hanim Salleh, in IIUM Journal of Economics and Management (2007)
Keywords: Tourism Demand, ARDL Model, ASEAN.

The Effects of Oil Price Shocks on real GDP in Iran,
Mohammad Taghi Khosravi Larijani, Abbas Rezazadeh Karsalari and Mehdi Aghaee, in Hyperion Economic Journal (2013)
Keywords: lead, real GDP, Iran economy, asymmetric effects, oil price shocks, Johansen cointegration test

Forecasting economic crisis using gradient measurement of development and log-logistic function,
Rafal Siedlecki and Daniel Papla, in Business and Economic Horizons (BEH) (2013)
Keywords: Law of growth, forecasting, economic crisis, time series analysis, warning signals, S-curve Journal:Business and Economic Horizons (BEH)

Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model (in Korean),
Seungmoon Choi and Byungkuk Kim, in Economic Analysis (Quarterly) (2017)
Keywords: Regime-switching, Diffusion process model, Call rate behaviour, Maximum likelihood estimation, Transition probability density function

Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates,
Seungmoon Choi, in Economic Analysis (Quarterly) (2015)
Keywords: Short-term interest rates, Continuous-time diffusion model, Maximum likelihood estimation

An Empirical Study on Inflation and Economic Growth in Qatar,
Abdulla S. Al-Khulaifi, in International Journal of Economics and Financial Research (2018)
Keywords: Economic growth; Inflation; Cointegration; Granger causality; Qatar.

Valor en Riesgo mediante un modelo heterocedástico condicional ?-estable,
Ramona Serrano Bautista and Leovardo Mata Mata, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2018)
Keywords: Valor en Riesgo (VaR), Distribución estable, GARCH, Modelo heterocedástico condicional ?-estable

Estimation of Private Consumption Function of Iran: Autoregressive Distributed Lag Approach to Co-integration,
Behnam Nikbin and Saman Panahi, in International Journal of Economics and Financial Issues (2016)
Keywords: Consumption Function, Auto-regressive Distributed Lag Approach, Error Correction Model

THE TIME-VARYING RISK AND RETURN TRADE-OFF IN INDIAN STOCK MARKETS,
Roshni Mohanty and Srinivasan P, in Journal of Academic Research in Economics (2014)
Keywords: Stock Market Returns, Weak-From Efficiency, India, AR-EGARCH-M model.

SELECTION OF VARIABLES INFLUENCING IRAQI BANKS DEPOSITS BY USING NEW BAYESIAN LASSO QUANTILE REGRESSION,
Fadel Hamid Hadi Alhusseini, in Journal of Social and Economic Statistics (2017)
Keywords: Bayesian approach, Lasso quantile regression, scale mixture uniform, deposits of Iraqi banks, variables selection Journal: Journal of Social and Economic Statistics

Can Remittances Spur Economic Growth? Evidence from Selected Asian and South American Countries,
Waseem Khadim and Bilal Mehmood, in International Journal of Economics and Empirical Research (IJEER) (2016)
Keywords: Remittances, Economic Growth, Panel Data

Testing the Marshall-Lerner Condition and the J-Curve Phenomenon for Pakistan: Some New Insights,
Nazeef Ishtiaq, Hafiz Muhammad Qasim and Adeel Ahmad Dar, in International Journal of Economics and Empirical Research (IJEER) (2016)
Keywords: Marshall-Lerner condition, J-curve, Real exchange rate, Trade balance

Assymetric Mean Reversion in the Consumption-Income Ratio: Evidence from OECD economies,
Steven Cook, in Applied Econometrics and International Development (2002)

Preserving Logical Relations while Estimating Missing Values,
Ton de Waal and Wieger Coutinho, in Romanian Statistical Review (2017)
Keywords: Nearest-neighbour Imputation, Edit restrictions, Linear programming, Data adjustment

Nonparametric Estimation of First-Price Auctions: Technical Appendices,
E. Guerre, I. Perrigne and Q. Vuong, from Southern California - Department of Economics (1995)
Keywords: EVALUATION;ECONOMETRICS;MATHEMATICS;AUCTIONS

Nonparametric Estimation of First-Price Auctions,
E. Guerre, I. Perrigne and Q. Vuong, from Southern California - Department of Economics (1995)
Keywords: EVALUATION;ECONOMETRICS;MATHEMATICS;AUCTIONS

Reseaux de neurones, lissage de la fonction d'actualisation et prevision des OAT demembrees: une etude empirique,
S. Bolgot and J.-C. Meyfredi, from Universite Aix-Marseille III (1998)
Keywords: TAUX D'INTERET ; PREVISIONS

A SPECTRAL DECOMPOSITION APPROACH TO SEPARATING INDEPENDENT FACTORS: THE CASE OF FOREIGN EXCHANGE RATES,
Sorin-Manuel Delureanu Ph. D Student, in Revista Tinerilor Economisti (The Young Economists Journal) (2015)
Keywords: blind source separation; independent component analysis; financial time series critical

Volatility Estimation and Forecasting During Crisis Periods: A Study Comparing GARCH Models with Semiparametric Additive Models,
Douglas Gomes dos Santos and Flávio Augusto Ziegelmann, in Brazilian Review of Finance (2012)
Keywords: volatility, semiparametric additive models, GARCH models, crisis

Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies,
Samih Antoine Azar, in International Journal of Economics and Financial Issues (2013)
Keywords: US dollar; mean aversion; persistence of shocks; market efficiency; martingale; structural breaks; ARIMA; GARCH

Model Selection and Estimation of Long-Memory Time-Series Models,
Katelijne A.E. Carbonez, in Review of Business and Economic Literature (2009)
Keywords: model selection, inference, long memory, fractional integration

A semiparametric assessment of export-led growth in the Philippines,
Lorna E. Amrinto and Hector O. Zapata, in Philippine Review of Economics (2006)
Keywords: export-led growth, semiparametric error-correction model, Granger causality

Währungsunionen, Wechselkursregime und deren Effekte auf bilateralen Handel: drei empirische Ergebnisse,
Sabrina Dorn, in KOF Analysen (2015)
Keywords: Exchange rate regimes, Bilateral trade, Heterogeneous treatment effects, Stratified matching, Random Forests

АНАЛИЗ НА ВРЕМЕВИТЕ РЕДОВЕ НА ЦЕНИТЕ И ОБЕМА НА БОРСОВАТА ТЪРГОВИЯ НА ЕЛЕКТРИЧЕСКА ЕНЕРГИЯ В УСЛОВИЯТА НА НИСКА ЛИКВИДНОСТ,
Виктор Аврамов, in Electronic magazine "Dialogue" (2019)
Keywords: потребление на електрическа енергия, сезонност, времеви редове, прогнозиране

Oil and S&P 500 Markets: Evidence from the Nonlinear Model,
Yen-Hsien Lee and Fang Hao, in International Journal of Economics and Financial Issues (2012)
Keywords: Threshold Co-integration Test; Threshold Error-Correction Model; Stock Market; Oil Market; STECM-GARCH Model

The Optimal Taxation and the Current Tax System,
Ioannis N. Kallianiotis, in International Journal of Economics and Empirical Research (IJEER) (2015)
Keywords: Estimation, Consumption and Saving, Taxation, Government Expenditures

Macroeconomic efault Modeling and Stress Testing,
Dietske Simons and Ferdinand Rolwes, in International Journal of Central Banking (2009)

Currency Risk: Comovements and Intraday Cojumps,
Jérôme Lahaye, in Annals of Economics and Statistics (2016)
Keywords: Cojump, Jump, Bootstrap, Diffusion, Brownian, Semimartingale, High-Frequency, Risk, Diversification, Foreign Exchange, Correlation, Crisis, Tail

Consistent Parameter Estimation for Lagged Multilevel Models,
N.H. Spencer, from University of Hertfordshire - Business Schoool (1998)
Keywords: ESTIMATOR ; STATISTICAL ANALYSIS

Forecasting Seasonal Factors Method Vs. Regression Method With MS Excel,
Petru Balogh and Pompiliu Golea, in Knowledge Horizons - Economics (2015)
Keywords: Forecasting, Seasonal factor, Regression, Comparative analysis

The Efficiency Of An Estimator. Application,
Cristina-Ioana Fatu, in Knowledge Horizons - Economics (2017)
Keywords: Statistical Estimation, Efficient Estimator, Random Variable, Relative Efficiency, Absolute Correct Estimator

Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks,
Sayo Oludare, Michael Olagunju and Olusegun Adelodun, in The African Finance Journal (2013)
Keywords: EGARCH model, GED residuals, returns, heteroscedasticity

The Generalized Method of Moments,
Lev Slutskin, in Applied Econometrics (2007)
Keywords: asymptotic normality; consistent estimator; instrumental variables; method of moments

Evolución de la productividad multifactorial, ciclos y comportamiento de la actividad económica en Cundinamarca,
Álvaro Hernando Chavez Castro, from Universidad Externado de Colombia (2005)
Keywords: Cundinamarca

On the existence of moments: With an application to German stock returns,
Ralf Runde and Axel Scheffner, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998)
Keywords: Tail estimation, fQ-System, Distribution of stock returns

Estimation Theory for the Cusp Catastrophe Model,
Loren Cobb, from University Library of Munich, Germany (2010)
Keywords: cusp, catastrophe, exponential family

Turkiye'de Calisan Kadinlarin Cocuk Bakim Tercihleri,
Hulya Kakici, Asst. Prof. Hamdi Emec and Prof.Dr.Senay Ucdogruk, in Istanbul University Econometrics and Statistics e-Journal (2007)
Keywords: Child care preferences, working women, child care prefefences of working women, multinomial logit model.

Zenga’s new index of economic inequality, its estimation, and an analysis of incomes in Italy,
Francesca Greselin, Leo Pasquazzi and Ricardas Zitikis, from University Library of Munich, Germany (2009)
Keywords: Zenga index, lower conditional expectation, upper conditional expectation, confidence interval, Bonferroni curve, Lorenz curve, Vervaat process.

Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models,
Abdelouahab Bibi and Ahmed Ghezal, from University Library of Munich, Germany (2017)
Keywords: Periodic asymmetric GARCH model, Stationarity, Strong consistency, Asymptotic normality.

Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models,
Francesco Paolo Esposito and Mark Cummins, from University Library of Munich, Germany (2015)
Keywords: latent state-variables, non-linear filtering, finite difference method, multi-variate jump-diffusions, likelihood estimation

Variance targeting estimation of the BEKK-X model,
Le Quyen Thieu, from University Library of Munich, Germany (2016)
Keywords: BEKK model augmented with exogenous variables, BEKK-X model, Variance targeting estimation (VTE)

A távbeszélő-szolgáltatások keresleti modelljeinek áttekintése - különös tekintettel a vezetékes és mobilszolgáltatások közötti helyettesítés becslésére,
Vanda Bölcskei, in Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences) (2010)

Bias-corrected Moment-based Estimators for Parametric Models under Endogenous Stratified Sampling,
Joaquim Ramalho and Esmeralda Ramalho, from University of Évora, Department of Economics (Portugal) (2005)
Keywords: Endogenous Stratified Sampling, Bias correction, GMM, Parametric models

Non-routine Works Occur from Aviation Man-hour Estimation: Real-time Applications in Job Cards,
Halim Kazan and Arzu Tavsamaz, in Alphanumeric Journal (2014)
Keywords: Forecast, Job Card, Man-Hour, Non-routine, Routine

Averaging estimators for discrete choice by M-fold cross-validation,
Shangwei Zhao, Jianhong Zhou and Guangren Yang, in Economics Letters (2019)
Keywords: Asymptotically optimality; Computational cost; Cross-validation; Model averaging;

Uniform confidence bands: Characterization and optimality,
Joachim Freyberger and Yoshiyasu Rai, in Journal of Econometrics (2018)
Keywords: Uniform confidence bands; Simultaneous inference; Projections; Optimality;

How important are wealth effects on consumption in Canada?,
Maral Kichian and Milana Mihic, in Canadian Journal of Economics (2018)

Extreme quantile estimation for β-mixing time series and applications,
Valérie Chavez-Demoulin and Armelle Guillou, in Insurance: Mathematics and Economics (2018)
Keywords: Asymptotic normality; β-mixing; Extreme value index; GARCH models; High quantile; Return level; Value-at-Risk;

A small sigma approach to certain problems in errors-in-variables models,
Jinyong Hahn, Jerry Hausman and Jeonghwan Kim, in Economics Letters (2021)
Keywords: Errors-in-variables; Small sigma;

A Proposed Estimator for Dynamic Probit Models,
Wei Gao, Qiwei Yao and Wicher Bergsman, from University Library of Munich, Germany (2013)
Keywords: Dynamic and static probit models; Panel data; Generalized Linear models

Second order bias of quasi-MLE for covariance structure models,
Artem Prokhorov, in Economics Letters (2012)
Keywords: (Q)MLE; EL; Covariance structures;

Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem,
Dmytro Matsypura, Emily Neo and Artem Prokhorov, in Economics Letters (2016)
Keywords: Network flow problem; Copulas;

A goodness-of-fit test for copulas,
Artem Prokhorov, from University Library of Munich, Germany (2008)

Optimal estimation for doubly multivariate data in blocked compound symmetric covariance structure,
Anuradha Roy, Roman Zmyślony, Miguel Fonseca and Ricardo Leiva, from College of Business, University of Texas at San Antonio (2015)
Keywords: Best unbiased estimator, blocked compound symmetric covariance structure, doubly multivariate data, coordinate free approach

A Flexible-Form Nonnegative Regression Model Accommodating Zeros and Endogenous Switching,
Kerry Anne McGeary and Joseph Terza, from Pennsylvania State - Department of Economics (1995)
Keywords: REGRESSION ANALYSIS;SAMPLING;EVALUATION

On large market asymptotics for spatial price competition models,
Taisuke Otsu and Keita Sunada, in Economics Letters (2024)
Keywords: Spatial price competition; Weak instruments;

Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation,
Cícero Augusto Vieira Neto and Pedro Valls Pereira, in Brazilian Review of Finance (2005)
Keywords: term structure of interest rates, dynamics, derivatives contract pricing

An algorithm for constructing high dimensional distributions from distributions of lower dimension,
Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov, in Economics Letters (2014)
Keywords: Pseudo-likelihood; Multivariate distribution; Copulas;

Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models,
Susanne Schennach, from Econometric Society (2004)
Keywords: errors-in-variables, measurement error, Fourier transforms, nonlinear models, semiparametric estimation

Ill-posed Problems and Instruments' Weakness,
Grant Hillier and Giovanni Forchini, from Econometric Society (2004)
Keywords: Ill-posed Problems, Weak Instruments, Parametric Models

Eigenvectors of some large sample covariance matrices ensembles,
Olivier Ledoit and Sandrine P�ch�, from Institute for Empirical Research in Economics - University of Zurich (2009)
Keywords: Asymptotic distribution, bias correction, eigenvectors and eigenvalues, principal component analysis, random matrix theory, sample covariance matrix, shrinkage estimator, Stieltjes transform.

Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters,
Giuliano De Rossi, from Society for Computational Economics (2004)
Keywords: Particle filtering; Term structure of interest rates

Nonlinear shrinkage estimation of large-dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2011)
Keywords: Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

The analysis of marked and weighted empirical processes of estimated residuals,
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2019)
Keywords: 1-step Huber-skip, Non-stationarity, Robust Statistics, Stationarity

Modeling long-range dependent Gaussian processes with application in continuous-time financial models,
Jiti Gao, from University Library of Munich, Germany (2003)
Keywords: continuous-time model; diffusion process; long-range dependent process; parameter estimation; stochastic volatility

VAR for VaR: measuring systemic risk using multivariate regression quantiles,
Halbert White, Tae-Hwan Kim and Simone Manganelli, from University Library of Munich, Germany (2010)
Keywords: Quantile impulse-responses; spillover; codependence; CAViaR

Robust claim frequency modeling through phase-type mixture-of-experts regression,
Martin Bladt and Jorge Yslas, in Insurance: Mathematics and Economics (2023)
Keywords: Discrete phase-type distributions; Regression modeling; Claim count distributions;

Redundancy of Moment Conditions in Restricted GMM Estimation,
Hailong Qian, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2016)
Keywords: GMM; restricted GMM estimation; moment conditions; redundancy of moment conditions; efficiency