Search Results - subject:"Conﬁdence set"

Are freight futures markets efficient? Evidence from IMAREX

Goulas, Lambros; Skiadopoulos, George - In: International Journal of Forecasting 28 (2012) 3, pp. 644-659

The International Maritime Exchange (IMAREX) is the leading regulated marketplace for trading and clearing shipping freight derivatives. We investigate for the first time whether the IMAREX freight futures market is efficient over the daily and weekly horizons. To this end, we address the...

Persistent link: https://www.econbiz.de/10010573798

Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes

Dufour, Jean-Marie; Neifar, Malika - Centre Interuniversitaire de Recherche en Analyse des … - 2003

errors of order p = 1: The proposed approach consists in three stages. First, we build an exact confidence set for the … confidence sets, an exact confidence set is then built by finding the set of autoregressive parameter values which are not … rejected (test inversion). Second, using this confidence set for (varphi), simultaneous confidence sets for the autoregressive …

Persistent link: https://www.econbiz.de/10005100639

Identification, Weak Instruments and Statistical Inference in Econometrics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

Persistent link: https://www.econbiz.de/10005100952

Identification, Weak Instruments and Statistical Inference in Econometrics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003

Persistent link: https://www.econbiz.de/10005133053

Identification, Weak Instruments and Statistical Inference in Econometrics

DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003

Persistent link: https://www.econbiz.de/10005133161

Multivariate log-concave distributions as a nearly parametric model

Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz - In: Statistics & Risk Modeling 28 (2011) 3, pp. 277-295

Abstract In this paper we show that the family P d (lc) of probability distributions on ℝ d with log-concave densities satisfies a strong continuity condition. In particular, it turns out that weak convergence within this family entails (i) convergence in total variation distance, (ii)...

Persistent link: https://www.econbiz.de/10014621398

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2011

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely BEKK,...

Persistent link: https://www.econbiz.de/10009643473

Sequential estimation in generalized linear models when covariates are subject to errors

Chang, Yuan-chin - In: Metrika 73 (2011) 1, pp. 93-120

Persistent link: https://www.econbiz.de/10008775689

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

approaches, such as mean squared error and Model Confidence Set approaches. The paper develops some innovative loss functions …

Persistent link: https://www.econbiz.de/10008642500

Ranking Multivariate GARCH Models by Problem Dimension

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH...

Persistent link: https://www.econbiz.de/10008465227