Search Results - subject:"Estimation theory" - EconBiz

Limited financial market participations and shocks in business cycles in Korea

Jung, Yongseung - In: East Asian economic review 28 (2024) 2, pp. 245-273

Persistent link: https://www.econbiz.de/10015184797

A novel robust method for estimating the covariance matrix of financial returns with applications to risk management

Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

Persistent link: https://www.econbiz.de/10015361657

Inference based on time-varying SVARs identified with time restrictions

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Shin, … - 2024

Persistent link: https://www.econbiz.de/10015340162

Testing for endogeneity : a moment-based Bayesian approach

Chib, Siddhartha; Shin, Minchul; Simoni, Anna - 2024

Persistent link: https://www.econbiz.de/10015340165

Local projection inference in high dimensions

Adamek, Robert; Smeekes, Stephan; Wilms, Ines - 2024

Persistent link: https://www.econbiz.de/10015357780

Are democratic regime and the magnitude of the informal economy robust determinants of human impacts on the environment? : an extreme bounds analysis

Vourvoulia, Michaela; Kampas, Athanasios - In: Economics & politics 36 (2024) 1, pp. 611-629

Persistent link: https://www.econbiz.de/10014473066

On allowing endogenous minimum consumption bounds in the multiple discrete continuous choice model : an application to expenditure patterns

Pellegrini, Andrea; Rose, John M. - 2024

Persistent link: https://www.econbiz.de/10014473351

Outlier robust inference in the instrumental variable model with applications to causal effects

Klooster, Jens; Zhelonkin, Mikhail - In: Journal of applied econometrics 39 (2024) 1, pp. 86-106

Persistent link: https://www.econbiz.de/10014474440

A maximum likelihood bunching estimator of the elasticity of taxable income

Aronsson, Thomas; Jenderny, Katharina; Lanot, Gauthier - In: Journal of applied econometrics 39 (2024) 1, pp. 200-216

Persistent link: https://www.econbiz.de/10014474453

Privately learning smooth distributions on the hypercube by projections

Lalanne, Clément; Gadat, Sébastien - 2024

Persistent link: https://www.econbiz.de/10014476085

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