Results 61 to 70 of about 627,025 (314)
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model [PDF]
SSRN Electronic Journal, 2018 We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment ...
Johansen, Søren +1 more
openaire +7 more sources
Chemie Ingenieur Technik, EarlyView.Aufgrund überlagerter oder konkurrierender Mechanismen sind relevante Wechselwirkungen bei der Staubung von Schüttgutmischungen komplex und nur unzureichend verstanden. Selbst für Mischungen aus umfassend charakterisierten Einzelkomponenten existieren keine belastbaren Modelle. In dieser Arbeit werden die Hürden bei der Prognose thematisiert.
David Horst +2 more
wiley +1 more source
InspiraBakgrunn: Utdanning av spesialsykepleiere innen anestesi-, intensiv-, operasjons- og barnesykepleie skjer i samarbeid mellom utdanningsinstitusjoner og praksisfelt. Sykehusene har et sentralt ansvar som praksisarena under de kliniske studiene.
Margret Gyda Wangen +3 more
doaj +1 more source
Magma, 2018 I kunnskapssamfunnet har vi behov for å løse stadig mer avanserte utfordringer som krever at de beste ekspertene bidrar. Profesjonelle tjenestebedrifter, slik som advokat-, revisjons- og konsulentvirksomheter, er en kontekst godt egnet til å lære om ...
Fred Strønen +2 more
doaj +1 more source
Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Time-Scale Transformations: Effects on VaR Models [PDF]
, 2004 This paper investigates the effects of using temporal aggregation rules in the evaluation of the maximum portfolio loss.In particular, we propose and compare different time aggregation rules for VaR models. We implement time-scale transformations for: (i) a EWMA model with Student’s t conditional distributions, (ii) a stable sub-Gaussian model, (iii) a
Fabio Lamantia +2 more
openaire +4 more sources
Partial identification with categorical data and nonignorable missing outcomes
Canadian Journal of Statistics, EarlyView.Abstract Nonignorable missing outcomes are common in real‐world datasets and often require strong parametric assumptions to achieve identification. These assumptions can be implausible or untestable, and so we may wish to forgo them in favour of partially identified models that narrow the set of a priori possible values to an identification region.
Daniel Daly‐Grafstein, Paul Gustafson
wiley +1 more source
Optimality of the RiskMetrics VaR model [PDF]
Finance Research Letters, 2007 Abstract Using different loss functions in estimation and forecast evaluation of econometric models can cause suboptimal parameter estimates and inaccurate assessment of predictive ability. Though there are not general guidelines on how to choose the loss function, the modeling of Value-at-Risk is a rare instance is which the loss function for ...
Gloria González-Rivera +2 more
openaire +1 more source
Bayesian inverse ensemble forecasting for COVID‐19
Canadian Journal of Statistics, EarlyView.Abstract Variations in strains of COVID‐19 have a significant impact on the rate of surges and on the accuracy of forecasts of the epidemic dynamics. The primary goal for this article is to quantify the effects of varying strains of COVID‐19 on ensemble forecasts of individual “surges.” By modelling the disease dynamics with an SIR model, we solve the ...
Kimberly Kroetch, Don Estep
wiley +1 more source
Modell, Walter -- 1973-74 -- Correspondence, Individual -- letter, 1973-12-11
, 1973 Letter from Modell, Walter to Sabin, Albert B.
Modell, Walter
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