Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models,
Dennis Kristensen,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: Diffusion process, fixed-time distance asymptotics, kernel estimation, pseudo-likelihood, semiparametric
Structural Threshold Regression,
Andros Kourtellos, Thanasis Stengos and Chih Ming Tan,
from University of Guelph, Department of Economics and Finance
(2009)
Forecasting long memory time series under a break in persistence,
Florian Heinen, Philipp Sibbertsen and Robinson Kruse,
from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(2009)
Keywords: Long memory time series, Break in persistence, Structural change, Simulation, Forecasting competition
Conditional Quantile Estimation for GARCH Models,
Zhijie Xiao and Roger Koenker,
from Boston College Department of Economics
(2009)
Keywords: Quantile Regression, GARCH, Value-at-Risk
The power of long-run structural VARs,
Christopher Gust and Robert Vigfusson,
from Board of Governors of the Federal Reserve System (U.S.)
(2009)
Keywords: Econometric models; Sampling (Statistics)
Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis,
Pawel J. Szerszen,
from Board of Governors of the Federal Reserve System (U.S.)
(2009)
Keywords: Stocks; Rate of return