Search Results - subject:"likelihood methods"

Applying the GLM variance assumption to overcome the scale-dependence of the negative binomial QGPML estimator

Bosquet, Clément; Boulhol, Hervé - In: Econometric reviews 33 (2014) 7, pp. 772-784

Persistent link: https://www.econbiz.de/10010363877

A general framework for statistical inference on discrete event systems.

Nicolai, R.P.; Koning, A.J. - Erasmus University Rotterdam, Econometric Institute - 2006

marked point processes, likelihood methods, kernel density estimation and stochastic approximation to enable statistical … as simulation of marked point processes, likelihood methods, kernel density estimation and stochas- tic approximation to … simulation; marked point process; likelihood methods; sto- chastic approximation; kernel density estimation; ∗Corresponding …

Persistent link: https://www.econbiz.de/10005450910

A general framework for statistical inference on discrete event systems.

Nicolai, R.P.; Koning, Koning, A.J. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

marked point processes, likelihood methods, kernel density estimation and stochastic approximation to enable statistical …

Persistent link: https://www.econbiz.de/10010731914

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Economic Integration and Financial Stability; A European Perspective

Nicoló, Gianni De; Tieman, Alexander F. - International Monetary Fund (IMF) - 2006

This paper assesses changes in synchronization of real activity and financial market integration in Western Europe and evaluates their implications for financial stability. We find increased synchronization of real activity since the early 1980s and increased equity markets integration since the...

Persistent link: https://www.econbiz.de/10005263987

Labor-Market Performance and Macroeconomic Policy: Time-Varying NAIRU in the Czech Republic (in English)

Hurník, Jaromír; Navrátil, David - In: Czech Journal of Economics and Finance (Finance a uver) 55 (2005) 1-2, pp. 25-40

During the second half of the 1990s, the Czech economy experienced a sharp increase in the unemployment rate. The authors attempt to determine whether this was caused by structural changes, worsening labor-market performance, or by the changing business-cycle position. This has direct...

Persistent link: https://www.econbiz.de/10005673584

Missing Link; Volatility and the Debt Intolerance Paradox

Catão, Luis; Kapur, Sandeep - International Monetary Fund (IMF) - 2004

A striking feature of sovereign lending is that many countries with moderate debt-to-income ratios systematically face higher spreads and more stringent borrowing constraints than others with far higher debt ratios. Earlier research has rationalized the phenomenon in terms of sovereign...

Persistent link: https://www.econbiz.de/10005769203

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - International Monetary Fund (IMF) - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

Persistent link: https://www.econbiz.de/10005826355

Link prediction in complex networks: A survey

Lü, Linyuan; Zhou, Tao - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 6, pp. 1150-1170

from physical perspectives and approaches, such as the random-walk-based methods and the maximum likelihood methods. We …

Persistent link: https://www.econbiz.de/10011060682

Influence diagnostics in the tobit censored response model

Barros, Michelli; Galea, Manuel; González, Manuel; … - In: Statistical Methods and Applications 19 (2010) 3, pp. 379-397

Persistent link: https://www.econbiz.de/10008673842