Search Results - subject:"Estimation"

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de/10015604163

Estimating, forecasting and backtesting a family of exponential and other GARCH models using the fEGarch package

Schulz, Dominik; Feng, Yuanhua; Peitz, Christian; … - 2026

Persistent link: https://www.econbiz.de/10015627061

Continuous-time impulse response functions with functional approaches and mixed-frequency data

Doz, Catherine; Ferrara, Laurent; Simoni, Anna - 2026

Persistent link: https://www.econbiz.de/10015644073

Nonparametric autoregressive copula forecasting via boundary-reflected kernel estimation

Soares, Guilherme Colombo; Laurini, Márcio Poletti - 2026

conditional AR(1) copula density on (0,1)2. To ensure stable estimation near the boundaries, we employ reflection-based kernel …

Persistent link: https://www.econbiz.de/10016059399

Time-varying price discovery

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: July 11, 2022

Persistent link: https://www.econbiz.de/10015615673

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Time-varying Price Discovery

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - 2023

Book / Working Paper

A least-squares filter for sequence-space models

Dinis Rigato, Rodolfo - 2026

Sequence-space models are becoming increasingly popular in macroeconomics, especially in the heterogeneous-agent literature. However, the econometric toolkit for users of these models remains less developed than that available for traditional state-space methods. This note introduces an...

Persistent link: https://www.econbiz.de/10015606824

Barron-Loss adaptive estimation

Punder, Ramon de; Dijkstra, Mathijs R. G.; Diks, Cees G. H. - 2026

Estimation (BLADE) filter generates a strictly stationary, ergodic, and invertible sequence of time-varying parameters under mild … regularity conditions. Within an extended quasi score-driven estimation framework, obtained by generalizing the required moment … corrupted observations. Monte Carlo experiments under non-contaminated and contaminated estimation environments confirm these …

Persistent link: https://www.econbiz.de/10015644884

Power quasi Sujatha distribution with properties and applications to real lifetime data

Prodhani, Hosenur Rahman; Shanker, Rama - 2026

. Moments of the proposed distribution have been obtained. The estimation of the parameters using the maximum likelihood method … and maximum product spacing estimation has been explained and a simulation study has been presented to determine the …

Persistent link: https://www.econbiz.de/10015667515

Semiparametric local projections

Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2026

Persistent link: https://www.econbiz.de/10015669414

A novel scaling approach for unbiased adjustment of risk estimators

Pitera, Marcin; Schmidt, Thorsten; Stettner, Łukasz - 2026

Persistent link: https://www.econbiz.de/10016070995