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  • Search: subject:"Discrete Distributions"
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Year of publication
Subject
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discrete distributions 5 Statistische Verteilung 3 Theorie 3 backtesting 3 moment-based tests 3 parameter uncertainty 3 Bayesian inference 2 Markov chain Monte Carlo 2 Nichtparametrisches Verfahren 2 high-frequency dynamics 2 stochastic volatility 2 value-at-risk 2 Bayes-Statistik 1 Bid-Ask Spread 1 Börsenkurs 1 Conditional Inflation 1 Copula Functions 1 Decision under uncertainty 1 Discrete distributions 1 Endogeneity 1 Entscheidung unter Unsicherheit 1 Estimation 1 Estimation theory 1 Incomplete models 1 Instrumental variables 1 Instrumentalvariablen-Schätzmethode 1 Markov chain 1 Markov-Kette 1 Metropolized-Independence Sampler 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multivariate Analyse 1 Multivariate Discrete Distributions 1 Nonadditive models 1 Nonparametric methods 1 Ordered choice 1 Partial identification 1 Partial identification , Nonparametric methods , Nonadditive models , Discrete distributions , Ordered probit , Poisson regression , Binomial regression , Endogeneity , Instrumental variables , Structural quantile functions. 1 Qualitatives Verfahren 1 Regression 1
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Online availability
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Free 8
Type of publication
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Book / Working Paper 8
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 6 Undetermined 2
Author
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Bontemps, Christian 3 Barra, Istvan 2 Chesher, Andrew 2 Koopman, Siem Jan 2 Bien, Katarzyna 1 Nolte, Ingmar 1 Pohlmeier, Winfried 1
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Institution
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Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE) 1 Toulouse School of Economics (TSE) 1
Published in...
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cemmap working paper 2 CoFE Discussion Paper 1 Discussion paper / Tinbergen Institute 1 IDEI Working Papers 1 IDEI working papers 1 TSE Working Papers 1 Tinbergen Institute Discussion Paper 1
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Source
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EconStor 4 ECONIS (ZBW) 2 RePEc 2
Showing 1 - 8 of 8
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"Moment‐based tests under parameter uncertainty"
Bontemps, Christian - 2018
Persistent link: https://www.econbiz.de/10011811851
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Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Barra, Istvan; Koopman, Siem Jan - 2016
changes. We account for the discrete nature of the data via two different approaches: ordered probit models and discrete … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …
Persistent link: https://www.econbiz.de/10011526105
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Bayesian dynamic modeling of high-frequency integer price changes
Barra, Istvan; Koopman, Siem Jan - 2016
changes. We account for the discrete nature of the data via two different approaches: ordered probit models and discrete … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …
Persistent link: https://www.econbiz.de/10011456723
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Simple moment-based tests for value-at-risk models and discrete distribution
Bontemps, Christian - Toulouse School of Economics (TSE) - 2014
In this paper, we develop moment-based tests for parametric discrete distributions. Momentbased test techniques are …-differentiable moments that are of great interest in the case of discrete distributions. Considering the power function under local …
Persistent link: https://www.econbiz.de/10011086697
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Moment-Based Tests for Discrete Distributions
Bontemps, Christian - Institut d'Économie Industrielle (IDEI), Toulouse … - 2013
In this paper, we develop moment-based tests for parametric discrete distributions. Momentbased test techniques are … differentiable moments that are of great interest in the case of discrete distributions. We compare this strategy with the one which …
Persistent link: https://www.econbiz.de/10010944622
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Instrumental variable models for discrete outcomes
Chesher, Andrew - 2009
Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated....
Persistent link: https://www.econbiz.de/10010288441
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Endogeneity and discrete outcomes
Chesher, Andrew - 2007
This paper studies models for discrete outcomes which permit explanatory variables to be endogenous. In these models there is a single nonadditive latent variate which is restricted to be locally independent of instruments. The models are silent about the nature of dependence between the latent...
Persistent link: https://www.econbiz.de/10010318576
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An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics
Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...
Persistent link: https://www.econbiz.de/10010266935
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