Search Results - subject:"Matrix exponential"

Explicit minimal representation of variance matrices, and its implication for dynamic volatility models

Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10013543279

Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012940057

Bayesian Analysis of Realized Matrix-Exponential GARCH Models

Asai, Manabu; McAleer, Michael - 2018

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and …

Persistent link: https://www.econbiz.de/10011819520

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - 2018

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and …

Persistent link: https://www.econbiz.de/10011794277

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized … covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation … forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model …

Persistent link: https://www.econbiz.de/10011586691

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011536626

The impact of weight matrices on parameter estimation and inference: A case study of binary response using land-use data

Wang, Yiyi; Kockelman, Kara M.; Xiaokun (Cara) Wang, … - In: The Journal of Transport and Land Use 6 (2013) 3, pp. 75-85

where the weight matrix includes an endogenous distance-decay parameter (SARPα), and a matrix exponential spatial …

Persistent link: https://www.econbiz.de/10010991417

Model uncertainty in matrix exponential spatial growth regression models

Fischer, Manfred M.; Piribauer, Philipp - Vienna University of Economics and Business, Department … - 2013

spatial weight matrix in spatial growth regression models in general and growth regression models based on the matrix … exponential spatial specification in particular. A natural solution, supported by formal probabilistic reasoning, is the use of …

Persistent link: https://www.econbiz.de/10010711710

Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data

Blevins, Jason R. - Ohio State University, Department of Economics - 2013

When a continuous time model is sampled only at equally spaced intervals, a priori restrictions on the parameters can provide natural identifying restrictions which serve to rule out otherwise observationally equivalent parameter values. Specifically, we consider identification of the parameter...

Persistent link: https://www.econbiz.de/10010713823

Model uncertainty in matrix exponential spatial growth regression models

Piribauer, Philipp; Fischer, Manfred M. - 2013

Persistent link: https://www.econbiz.de/10010361567