Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models [PDF]
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC.
Michael McAleer, Massimiliano Caporin
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Local asymptotic normality in a stationary model for spatial extremes
De Haan and Pereira (2006) [6] provided models for spatial extremes in the case of stationarity, which depend on just one parameter [beta]>0 measuring tail dependence, and they proposed different estimators for this parameter.
Falk, Michael
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Inverse-Probability-Weighted Wavelet Estimation of Regression Derivatives Under Missing-at-Random Responses for Stationary Ergodic Processes. [PDF]
Entropy (Basel)Bouzebda S, Didi S.
europepmc +1 more source
Asymptotic Theory for a Vector ARMA-GARCH Model, [PDF]
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established.
Michael McAleer, Shiqing Ling
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Semi-moments based tests of normality and the evolution of stock returns towards normality. [PDF]
Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or finance, often to judge the distributional ...
Desmoulins-Lebeault, François
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Merits and drawbacks of variance targeting in GARCH models [PDF]
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models.
Francq, Christian +2 more
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A New Estimator of Kullback-Leibler Divergence via Shannon Entropy. [PDF]
Entropy (Basel)Çadırcı MS, Singull M.
europepmc +1 more source
"Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings" [PDF]
Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of major concern for the international financial community.
Suhejla Hoti +2 more
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Estimating Optimal Site-Specific Individualized Treatment Rules With Limited Data Sharing. [PDF]
Stat MedQiao N, Zhang J, Zhan Z.
europepmc +1 more source
Local-global neural networks: a new approach for nonlinear time series modelling [PDF]
In this paper, the Local Global Neural Networks model is proposed within the context of time series models. This formulation encompasses some already existing nonlinear models and also admits the Mixture of Experts approach.
Marcelo C. Medeiros +2 more
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