Search Results - subject:"(Semi)parametric Estimation"

Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10008462031

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Verbeek, Marno; Rombouts, J.V.K. - Erasmus Research Institute of Management (ERIM), … - 2009

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining...

Persistent link: https://www.econbiz.de/10010731535

Optimal Military Spending in the US: A Time Series Analysis

d'Agostino, Giorgio; Pieroni, Luca; Dunne, J Paul - Department of Accounting, Economics and Finance, … - 2009

This paper extends previous work on the optimal size of government spend- ing by including nested functional decompositions of military spending into consumption and investment. Post World War II US data are then used to estimate nested non-linear growth models using semiparametric methods. As...

Persistent link: https://www.econbiz.de/10005227948

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Rombouts, J.V.K.; Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2009

Paper: Portfolio-analyse, parametrische modellen Free keywords Multivariate GARCH, semi-parametric estimation, Value …: multivariate GARCH, semi-parametric estimation, Value-at-Risk, asset allocation JEL Classification: C14, C22, C53, G11. 2 1 … distribution to use for which specific VaR level. The fact that semi-parametric estimation of the VaR domi- nates parametric …

Persistent link: https://www.econbiz.de/10005288366

A new partially reduced-bias mean-of-order p class of extreme value index estimators

Gomes, M. Ivette; Brilhante, M. Fátima; Caeiro, Frederico - In: Computational Statistics & Data Analysis 82 (2015) C, pp. 223-237

A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a...

Persistent link: https://www.econbiz.de/10011117686

Semi-nonparametric spline modifications to the Cornwell-Schmidt-Sickles estimator : an analysis of US banking productivity

Almanidis, Pavlos; Karagiannēs, Giannēs; Sickles, Robin C. - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 169-191

Persistent link: https://www.econbiz.de/10011285917

The treatment-effect estimation : a case study of the 2008 economic stimulus package of China

Ouyang, Min; Peng, Yulei - In: Journal of econometrics 188 (2015) 2, pp. 545-557

Persistent link: https://www.econbiz.de/10011503720

Relações não lineares na curva de Phillips : uma abordagem semi-paramétrica

Tristão, Tiago Santana; Torrent, Hudson da Silva - In: Economia aplicada : EA 19 (2015) 4, pp. 679-703

Persistent link: https://www.econbiz.de/10011592646

A simple estimator for smooth local projections

El-Shagi, Makram - In: Applied economics letters 26 (2019) 10, pp. 830-834

Persistent link: https://www.econbiz.de/10012204396

Detecting price thresholds in choice models using a semi-parametric approach

Boztuğ, Yasemin; Hildebrandt, Lutz; Raman, Kalyan - In: OR spectrum : quantitative approaches in management 36 (2014) 1, pp. 187-207

Persistent link: https://www.econbiz.de/10010251255