Search Results - subject:"Box–Cox transformation"

Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2003

they found from currency markets is not strong enough to support the Box-Cox transformation against the alternatives, and … applied to the equity market, we find strong empirical evidence to support the Box-Cox transformation of volatility. In …

Persistent link: https://www.econbiz.de/10005149092

Likelihood inferences for the link function without knowing the true underlying distributions

Tsou, Tsung-Shan - In: Computational Statistics 26 (2011) 3, pp. 507-519

Persistent link: https://www.econbiz.de/10009324899

Testing the Box-Cox parameter for an integrated process

Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008760495

Testing the Box-Cox parameter for an integrated process

Huang, Jian; Kobayashi, Masahito - 2010 - Rev.

without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is …

Persistent link: https://www.econbiz.de/10008840787

Testing the Box-Cox Parameter for an Integrated Process

Huang, Jian; Kobayashi, Masahito; McAleer, Michael - Department of Economics and Finance, College of … - 2010

without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is …

Persistent link: https://www.econbiz.de/10008765702

Box–Cox transformation for spatial linear models: a study on lattice data

Lai, Dejian - In: Statistical Papers 51 (2010) 4, pp. 853-864

Persistent link: https://www.econbiz.de/10008775877

A family of autoregressive conditional duration models

FERNANDES, Marcelo; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), … - 2001

in the literature. The nesting relies on a Box-Cox transformation with shape parameter [delta] to the conditional … warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks, we find …

Persistent link: https://www.econbiz.de/10005008441

On the use of non-linear transformations in Stochastic Volatility models

Tsiotas, Georgios - In: Statistical Methods and Applications 18 (2009) 4, pp. 555-583

Persistent link: https://www.econbiz.de/10008537605

Tie Turning Box-Cox including Quadratic Forms in Regression

Gaudry, Marc; Blum, Ulrich; Liem, Tran - Bureau d'Économie Théorique et Appliquée (BETA), … - 2000

In a regression model where a Box-Cox transformation is used on a positive independent variable X which appears only …

Persistent link: https://www.econbiz.de/10005570163

Higher-order dependence in the general Power ARCH process and a special case

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1999

In this paper we consider a general first-order power ARCH process and, in particular, a special case in which the power parameter approaches zero. These considerations give us the autocorrelation function of the logarithms of the squared observations for first-order exponential and logarithmic...

Persistent link: https://www.econbiz.de/10005649212