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Year of publication
Subject
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ARCH model 1 ARCH-Modell 1 Copula 1 Multiple change points 1 Multivariate Verteilung 1 Multivariate distribution 1 Smooth transition model 1 Spearman's rho 1 Tail dependence 1 Time series analysis 1 Zeitreihenanalyse 1 asymptotic distribution 1 least absolute deviation 1 multiple-regime regressions 1 multiple-regime smooth-transition copula GARCH model 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Jushan, Bai 1 Okimoto, Tatsuyoshi 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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CAMA working paper series 1 MPRA Paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi - 2014
Persistent link: https://www.econbiz.de/10011341996
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Estimation of multiple-regime regressions with least absolutes deviation
Jushan, Bai - Volkswirtschaftliche Fakultät, … - 1995
This paper considers least absolute deviations estimation of a regression model with multiple change points occurring at unknown times. Some asymptotic results, including rates of convergence and asymptotic distributions, for the estimated change points and the estimated regression coefficient...
Persistent link: https://www.econbiz.de/10009251557
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