Results 31 to 40 of about 229 (64)
The tail of the stationary distribution of a random coefficient AR(q) model
, 2004 We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail.
Kluppelberg, Claudia +1 more
core +2 more sources
Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables [PDF]
, 2010 We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing ...
Hallara, Slah-Eddine +2 more
core
Cross sectional efficient estimation of stochastic volatility short rate models [PDF]
, 2001 We consider the problem of estimation of term structure of interest rates. Filtering theory approach is very natural here with the underlying setup being non-linear and non-Gaussian. Earlier works make use of Extended Kalman Filter (EKF).
Danilov, D., Mandal, P.K.
core +4 more sources
Continuous-time GARCH processes
, 2006 A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab.
Brockwell, Peter +2 more
core +2 more sources
ANOVA for diffusions and It\^{o} processes
, 2006 It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes.
Mykland, Per Aslak, Zhang, Lan
core +1 more source
Break detection in the covariance structure of multivariate time series models
, 2008 In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models.
Aue, Alexander +3 more
core +1 more source
, 2006 This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form $X_t=\sigma_tZ_t$, where the unobservable volatility $\sigma_t$ is a parametric function of $(X_{t-1},...,
Mikosch, Thomas, Straumann, Daniel
core +1 more source
BERT's sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model. [PDF]
Neural Comput Appl, 2022 Colasanto F +3 more
europepmc +1 more source
The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition [PDF]
, 2014 Our contribution focuses on the role of the exchange rate changes in Bulgaria and Romania during the transition process toward a market economy. We are interested in the degree of exchange rate pass-through to the domestic inflation in these countries ...
Němec Daniel, Žídek Libor
core
The impact of exchange rate changes on inflation in the V4 countries in the process of economic transition [PDF]
, 2013 Our contribution focuses on the role of the exchange rate changes in the V4 countries during the transition process towards a market economy. Regarding the variety of exchange rate regimes implemented in the V4 countries at the start of the economic ...
Němec Daniel, Žídek Libor
core