Results 111 to 120 of about 291,653 (252)
Journal of Time Series Analysis, Volume 46, Issue 3, Page 582-595, May 2025.Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross‐covariance operators of Cartesian product Hilbert space‐valued processes. Asymptotic results have been derived in recent years, either less generally or under a strict condition.
Sebastian Kühnert
wiley +1 more source
On the tail behavior of a class of multivariate conditionally heteroskedastic processes [PDF]
arXiv, 2017 Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution is regularly varying.
arxiv
Have Autocrats Governed for the Long Term?
Kyklos, Volume 78, Issue 2, Page 440-465, May 2025.ABSTRACT The short answer is: probably not. We infer the priorities of national governments from observed outcomes, constructing a statistical proxy for long‐term benevolence. Using data between 1960 and 2019 for more than 100 countries, we show that, on average, democracies score more highly on our measure.
Emanuele Millemaci +2 more
wiley +1 more source
Agribusiness, Volume 41, Issue 2, Page 307-341, Spring 2025.Abstract For a significant global segment, the volatility in grain prices presents a substantial menace to food accessibility and security. In the global pandemic and the Russia–Ukraine conflict (RUW), numerous nations were caught off guard, exacerbating this predicament and leading to instances where citizens faced purchasing restrictions on sunflower
Faruk Urak
wiley +1 more source
Simple Yet Effective: A Comparative Study of Statistical Models for Yearly Hurricane Forecasting
Environmetrics, Volume 36, Issue 3, April 2025.ABSTRACT In this article, we study the problem of forecasting the next year's number of Atlantic hurricanes, which is relevant in many fields of applications such as land‐use planning, hazard mitigation, reinsurance and long‐term weather derivative market.
Pietro Colombo +2 more
wiley +1 more source
MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]
Annals of the University of Oradea: Economic Science, 2011 In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
doaj
Idiosyncratic asset return and wage risk of US households
Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley +1 more source
Comparison of Value-at-Risk models: the MCS package [PDF]
arXiv, 2015 This paper compares the Value--at--Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The direct VaR estimate provided by the Conditional Autoregressive Value--at--Risk (CAViaR) models of Eengle and Manganelli (2004) are compared to those obtained
arxiv
DEoptim: An R Package for Global Optimization by Differential Evolution
Journal of Statistical Software, 2011 This article describes the R package DEoptim, which implements the differential evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector.
Katharine M. Mullen +4 more
doaj
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
The Journal of Finance, Volume 80, Issue 2, Page 783-832, April 2025.ABSTRACT We empirically analyze firm‐level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact.
MATHIAS S. KRUTTLI +2 more
wiley +1 more source