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

Multivariate GARCH models with spherical parameterizations : an oil price application

Ballestra, Luca Vincenzo; De Blasis, Riccardo; Pacelli, … - In: Financial innovation : FIN 11 (2025), pp. 1-35

In popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the covariance and correlation matrices pose some...

Persistent link: https://www.econbiz.de/10015560223

Bayesian inference of vector autoregressions with tensor decompositions

Luo, Yiyong; Griffin, Jim E. - In: Journal of business & economic statistics : JBES ; a … 43 (2025) 4, pp. 941-955

Persistent link: https://www.econbiz.de/10015534495

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; Ribeiro, Patrick de Matos - In: Econometrics : open access journal 8 (2020) 4/42, 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/10012312162

Assessing the level of macroeconomic stability of EU countries

Zolkover, Andrii; Renkas, Jurij - In: SocioEconomic challenges : SEC 4 (2020) 4, pp. 175-182

Persistent link: https://www.econbiz.de/10012420302

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

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/10012019237

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

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

Sound deposit insurance pricing using a machine learning approach

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

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

Parameterized algorithms for power-efficiently connecting wireless sensor networks : theory and experiments

Bentert, Matthias; Van Bevern, René; Nichterlein, André; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 55-75

Persistent link: https://www.econbiz.de/10013358842