Search Results - subject:"parameter estimation"

Has the reaction function of the European Central Bank changed over time?

Tatar, Balint - 2023 - This version: May 2, 2023

I have assessed changes in the monetary policy stance in the euro area since its inception by applying a Bayesian time-varying parameter framework in conjunction with the Hamiltonian Monte Carlo algorithm. I find that the estimated policy response has varied considerably over time. Most of the...

Persistent link: https://www.econbiz.de/10014252499

Heterogeneities among credit risk parameter distributions : the modality defines the best estimation method

Gürtler, Marc; Zöllner, Marvin - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 251-287

Persistent link: https://www.econbiz.de/10014226388

Modelling natural gas future prices via hybrid stochastic diffusion processes

Mert, Ozenc Murat; Koc, Oguz; Selcuk-Kestel, A. Sevtap - In: Energy Entrepreneurship, Sustainability, Innovation and …, (pp. 297-324). 2025

Persistent link: https://www.econbiz.de/10015332331

Partial index tracking enhanced mean-variance portfolio

Cai, Zhaokun; Cui, Zhenyu; Simaan, Majeed - 2025

Persistent link: https://www.econbiz.de/10015375252

Modified exponential time series model with prediction of total COVID-19 cases in Belgium, Czech Republic, Poland and Switzerland

In: Statistics in Transition new series (SiTns) 23 (2022) 3, pp. 147-165

suitable for the parameter estimation. The compound growth rate of COVID-19 infection was the highest in Switzerland, and the …

Persistent link: https://www.econbiz.de/10013444151

Bitcoin : jumps, convenience yields, and option prices

Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091

Persistent link: https://www.econbiz.de/10013490923

Extreme value statistics using related variables

Ahmed, Hanan - 2022

Persistent link: https://www.econbiz.de/10013263346

Analysis of stock exchange risk and currency in South African financial markets using stable parameter estimation

Naradh, Kimera; Chifurira, Retius; Chinhamu, Knowledge - In: International journal of finance & banking studies : JJFBS 11 (2022) 1, pp. 120-131

Persistent link: https://www.econbiz.de/10012804729

Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method

Gürtler, Marc; Zöllner, Marvin - In: OR Spectrum 45 (2022) 1, pp. 251-287

, which is based on cluster analysis, can also be applied to parameter estimation problems in all areas of predictive …

Persistent link: https://www.econbiz.de/10015272811

Constrained Naïve Bayes with application to unbalanced data classification

Blanquero, Rafael; Carrizosa, Emilio; Ramírez-Cobo, Pepa; … - In: Central European journal of operations research 30 (2022) 4, pp. 1403-1425

Persistent link: https://www.econbiz.de/10013445729

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