A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada [PDF]
We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from target levels.
Douglas James Hodgson
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Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information
International Journal of Finance &Economics, EarlyView.ABSTRACT We test predictions of market microstructure theory relating to the determinants of order choice in a limit order book where information is dispersed among traders. Using an experimental limit order book, with a large state space, we find that informed traders exhibit patience, compatible with the ‘waiting game’ behaviour described in Foster ...
James Steeley +2 more
wiley +1 more source
Semiparametric estimation for incoherent optical imaging
Physical Review Research, 2019 The theory of semiparametric estimation offers an elegant way of computing the Cramér-Rao bound for a parameter of interest in the midst of infinitely many nuisance parameters.
Mankei Tsang
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Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics [PDF]
The idea of using estimating functions goes a long way back, at least to Karl Pearson's introduction to the method of moments in 1894. It is now a very active area of research in the statistics literature. One aim of this chapter is to provide an account
Anil K Bera +2 more
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A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative
, 2022 We present a new test when there is a nuisance parameter under the alternative hypothesis. The test exploits the p-value occupation time [PVOT], the measure of the nuisance parameter subset on which a p-value test based on a a test statistic rejects the ...
Hill, Jonathan B.
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iNew Medicine, EarlyView.ABSTRACT Behavioral and psychological symptoms of dementia (BPSD) are highly prevalent in Alzheimer's disease (AD), but the underlying mechanisms are unclear. This study aims to elucidate the neuropathological mechanisms underlying BPSD by investigating gray matter volume (GMV) and brain connectivity in AD patients with and without BPSD.
Xuerui Pang +8 more
wiley +1 more source
Pairwise Likelihood Estimation of the 2PL Model with Locally Dependent Item Responses
Applied SciencesThe local independence assumption is crucial for the consistent estimation of item parameters in item response theory models. This article explores a pairwise likelihood estimation approach for the two-parameter logistic (2PL) model that treats the local
Alexander Robitzsch
doaj +1 more source
Models of foreign exchange intervention: Estimation and testing [PDF]
We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels.
Bryan W. Brown; Douglas J. Hodgson
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Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
ESTIMATION OF SCALE PARAMETER UNDER A REFLECTED GAMMA LOSS FUNCTION [PDF]
Journal of Sciences, Islamic Republic of Iran, 1999 In this paper, the estimation of a scale parameter t under a new and bounded loss function, based on a reflection of the gamma density function, is discussed.
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