Search Results - subject:"parameterization"

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

propose a theoretically flexible time-scale parameterization compatible with this fBM behavior. In this context, a fractional …

Persistent link: https://www.econbiz.de/10015408198

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

A parameterization of models for unit root processes: Structure theory and hypothesis testing

Bauer, Dietmar; Matuschek, Lukas; de Matos Ribeiro, Patrick - In: Econometrics 8 (2020) 4, pp. 1-54

We develop and discuss a parameterization of vector autoregressive moving average processes with arbitrary unit roots … and (co)integration orders. The detailed analysis of the topological properties of the parameterization - based on the …

Persistent link: https://www.econbiz.de/10012696305

A parameterization of models for unit root processes : structure theory and hypothesis testing

Bauer, Dietmar; Matuschek, Lukas; Ribeiro, Patrick de Matos - In: Econometrics : open access journal 8 (2020) 4/42, pp. 1-54

Persistent link: https://www.econbiz.de/10012312162

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks 7 (2019) 2, pp. 1-18

While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard...

Persistent link: https://www.econbiz.de/10013200463

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks : open access journal 7 (2019) 2/45, pp. 1-18

Persistent link: https://www.econbiz.de/10012019237

The economic value of flexible dynamic correlation models

Louzis, Dimitrios P. - In: Economics Bulletin 35 (2015) 1, pp. 774-782

estimation of models with high degree of parameterization and large number of assets. We also extend the RDCC model to …

Persistent link: https://www.econbiz.de/10011212878

A Note on Parameterizing Input Distance Functions: Does the Choice of a Functional Form Matter?

Färe, Rolf; Vardanyan, Michael - IÉSEG School of Management, Université Catholique de Lille - 2014

We use a Monte Carlo experiment to compare the quadratic and translog functional forms in terms of their ability to approximate known frontiers that possess convex curvature. Unlike some of the existing simulation studies that have studied this topic, we find that both functional forms provide a...

Persistent link: https://www.econbiz.de/10010854434

One size does not fit all. A non-linear analysis of European monetary transmission

Cifarelli, Giulio; Paladino, Giovanna - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2014

country specific ESTAR/LSTAR parameterization of the short-run dynamics detects a high degree of heterogeneity. The transition …

Persistent link: https://www.econbiz.de/10010942508

ТЕОРЕТИКО-МЕТОДИЧЕСКИЕ ОСНОВЫ И ПРИКЛАДНЫЕ РЕКОМЕНДАЦИИ ОЦЕНКИ ЭФФЕКТИВНОСТИ ФУНКЦИОНИРОВАНИЯ ТОРГОВЫХ ПРЕДПРИЯТИЙ В УСЛОВИЯХ ЭКОНОМИЧЕСКОГО РАЗВИТИЯ

ИГОРЕВНА, ИЛЯШ ОЛЬГА; … - In: Проблемы экономики (2014) 3, pp. 220-226

Уточнено содержание эффективности как экономической категории, обоснован процесс измерения эффективности торговой деятельности на базе функций реализации,...

Persistent link: https://www.econbiz.de/10011270416